Is LW not connecting? Is this your first try with LW, or has it been working ok in the past?

Do you have the Windows firewall turned off? Rather than running without a firewall (not safe), turn the firewall on & make sure that LW's being allowed access through the firewall.

If LW isn't connecting try the advice here: all of a sudden will not connect (a fix to try)
Start off by deleting LW's preferences folder & changing Java versions. Read the whole thread.

Things are a bit different for Vista when finding the preferences folder & other files/folders within Application Data. This thread should help with that: LimeWire Pref Folder in Vista