You can be firewalled but still download (possibly not as well as you could if you weren't firewalled) but...chances are that very few or no people can download from you
Your download speed depends on your speed, host(s) speed, how many hosts you're downloading from, how many upload slots the host has open (so how many people are sharing that host's upload bandwidth) etc etc.

Do you see the firewall icon (brick wall in front of the blue globe)?
What's the model of your router?

You could also have a look at the thread below, it has some good tips to set up LW for best performance.
Configuring LW for best performance

At this stage LW can't automatically search for more sources.