Hi BBarnwell,
I can't help you with the Vista parental controls question...I use XP. You could ask Grandpa, he's a Vista user. Click on the link below & you'll be able to send him a PM (private message).
Grandpa

You're seeing the firewall icon, so a firewall somewhere's interfering with LW's performance. Make sure that the Windows firewall is off & that PC-Cillin firewall's configured to allow LW.
PortForward.com - Free Help Setting up Your Router or Firewall

Heaps of modems/routers have their own internal firewall. If you can give us the brand & model (have a look on the device & also underneath), we might be able to help you more with that