From what you said in post #3, it sounded like you had both Windows & McAfee firewalls running.

Some people have totally uninstalled McAfee, some have uninstalled the privacy policy only & that did the trick.

You never actually said what the problem was...I guess LW won't connect & you're seeing the firewall icon? You might also have to configure your modem/router if it has an internal firewall. As you can see here, Grandpa (Vista user) had to configure his
http://www.gnutellaforums.com/showthread.php?t=66796

Make it easy for everyone & give us your system details. That way, there's a better chance of someone being able to help you
System details - help us to help you