I might be able to help (I am familer with firewalls but no expert).

You probaly have a transparent firewall. The firewall is up to block incoming requests. Which means that you can connect to other people and send them requests but they cannot send you a request. They can however reply to requests you make (i.e. You must initiate the connection)

So, what this means is that you can only download from people who do not have a firewall (there are lots of users out there without firewalls).

An easy test:

1) Launch you gnutella client
2) Do a search for something that will have huge numbers of hits (like 'madonna')
3) Pick whatever file has the most hosts and start downloading it (*Note: I am assuming here that whateve client you use will try all the different hosts)

If you eventually get a file to connect, then you know that you can connect with people who are not behind firewalls (unfortunatly the number of people without a firewall gets smaller and smaller each day) you simply won't be able to download from other people behind firewalls.

If you cannot get any downloads to work then the firewall may also block most outgoing ports. You may be able to change to an outgoing port that is not blocked... go to this link where it will give you the port assignments for many common applications. Pick something like AOL instant messanger and see if that program will work through the firewall (i.e. Install AIM and see if it works). If it does, then you could use that port with your gnutella client (Of course, you would NOT be able to use AIM at the same time)

Good Luck