1. Only one firewall software needed. If using ZoneALarm then disable Vista firewall. Configure ZA firewall to allow LW. Else disable ZA & configure Vista firewall.
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2. Wireless connections generally use NAT which has the effect of being a firewall. If the router supports UPnP then make sure it's enabled. Else, the router will need port forwarding to allow a port for LW to listen through. With your wireless device, unless it is set for UPnP or Port Forwarding then you will be unlikely to have much sucess with using any torrent program.
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4. LW works fine as a torrent program for general use, but some people prefer other torrent programs due to some limitations of LW's torrent abilities & acceptability in the torrent world.