Disable the XP firewall...running 2 firewalls together won't give you more protection. They'll end up interfering with each other. So just use the PC-cillin firewall & make sure that it's configured to allow LW. See if the icon disappears once you've got rid of that XP firewall.

Your router has a firewall. If it supports UPnP, enable it within the router & then choose the UPnP option within LW's tools > options > advanced > firewall config. Apply to save a change.

If using UPnP doesn't work, or the router doesn't support UPnP...try port forwarding. Use the instructions below .
http://www.portforward.com/english/r...B/Limewire.htm

LW's listening port & the port forwarded must be the same number. If you have to allow a specific port thru the PC-cillin firewall then that must also be the same number