Your OSX firewall setting is fine. However the firewall detected may be coming from your modem/router. Many high speed ones have internal NAT firewalls. So to help there we'd need to know the brand & model numbers of that device.

To uninstall LW, simply drag the program to the trash. You can if you wish, also delete the LW preferences folder found here /Users/your_username/Library/Preferences/LimeWire

BTW if you have problems installing LW, then remove the installimewire package from the receipts folder & try again; Receipts folder sample image