What version of Java are you using? You'll need Java 1.6. Use the JRE offline installer & remove any old Java versions before installing the new one.
http://java.sun.com/javase/downloads/index.jsp

If you're using McAfee, you'll probably find there are connection issues
A lot of people have uninstalled McAfee (or parts of) because of this problem.
http://www.gnutellaforums.com/showthread.php?t=66843

But this poster found a solution & is now able to run LW with McAfee
A fix for Visat/Limewire

Have you used LW before? If this is your first try, I'd say go with the basic (free) version first...get to know the app & iron out any problems. Then upgrade to Pro once you're happy with the way LW works.