Files that sit connecting for ages, then need more sources are usually fakes. Try searching for some old songs & see what happens. Stay away from the files with large numbers of sources...try a file with 10 or less sources & see what happens.
Check the stickies below for more info & tips

Fake files showing up in search results
How to find music (info here applies to movies, too)

If it really is every file getting stuck, delete LW's preferences folder when LW's closed. See points 2 & 3 below. If you've used older versions of LW you maight have a folder in either location, so check both.
Fixes for LimeWire

If you want to look at the firewall issue, check the sticky below. Make sure the XP firewall is off. How do you have your router set up (UPnP enabled, ports forwarded or neither)? If you're firewalled, other people will find it very hard to download from you
Connection problems? Check here first!