Well the geeks are right in a way - heaps of dangerous files are shared on the Gnutella network (that LW connects to). But if you use a bit of common sense & are careful with what you download, you can safely use LW.

.exe, .rar, .zip, .wma, .wmv & .mov files can be nasty. So you're wise to stay away from games. And even if you do find a clean game to download, half the time it'll be missing a license key... so it's really not worth it! Check out the threads below for info about .wma, .wmv & .mov files & other bad files.
What you should know about WMA Files
mov files
Virus thread: Typical virus spam file sizes - Make a note of them (click on blue link to see)

Make sure that you have a good AV program. Keep it updated & scan all downloads with your AV before you open them. PeerGuardian2 is also a handy thing to have Check out the link below for more info & download links. It's free.
Phoenix Labs » PeerGuardian 2

Not seeing the firewall icon is a good thing. Did you notice more uploads when the firewall icon wasn't showing? If you see the firewall icon, it means that there's a firewall somewhere within your setup (might be a software firewall, or could be within a modem/router) that's not configured properly to allow LW. It's no indication of whether you have a firewall protecting your computer - it relates purely to LW. I have a firewall within my router & have Comodo software firewall but I don't see the firewall icon in LW - my computer is still protected, though

Chances are that your Linksys router has a firewall. They're sometimes unreliable using UPnP (maybe that's why your firewall icon comes & goes), so port forwarding is the way to go. You need to make sure that you have actually set up port forwarding within the routers config & also have set up a static IP address first. Just ticking the 'use manual port forwarding' box within LW isn't enough. Since I don't know your model, have a look at the link below. Choose your router model from the list & then choose LW from the list of programs. Then you'll find easy to follow instructions. Don't forget the static IP setup first (there's a link to that within the instructions)... otherwise port forwarding won't work. LW's listening port, port in the 'manual port forward' box & port forwarded within your router's setup have to all be the same number.
PortForward.com - Free Help Setting up Your Router or Firewall

You don't have to turn off your software firewalls - that will leave you less protected. Just make sure that you're only using one firewall (2 will conflict with each other) & configure that firewall to allow LW. I'd choose McAfee over the XP firewall. There are instructions here for configuring that: Port Forwarding for the McAfee Security Center

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