First you haveta know if it's on or off (like I told you, I don't know if XP's firewall is by default on but I kinda doubt it...).
When LW is open, click Tools->Options and then go to Bug report and click for an example. In the window that appears scroll down to the part that says: "Recieved incoming this session". If it says true then LW has no problem with firewalls (meaning that it has no problem connecting and stuff).
If on the other hand it says false, then maybe XP's firewall is on (or maybe another). In this case, you can configure your firewall (follow this link:
http://www.limewire.com/english/content/firewalls.shtml ) so that it will permit LW to fully access the net without forcing you to disable the firewall.
Hope this helps.