Oh by the way something I didn't mention. When I close Limewire, the Limewire process stays in my Process Manager, even though the program appears to shut down, and ending the process does nothing.
I don't know if this has anything to do with the connection problem, but who knows.

Uninstall ZA & LW (start > all programs > LW & use the uninstaller from there). Reinstall LW first, then reinstall ZA. This fix has worked for a few Vista users

Lots of people have had connection problems with the latest Java updates! Go back to 1.5 & see if the connection picks up again. Try this version - download the JRE offline installer & remove your current Java before you install this one.
Archive: Download Java 2 Platform Standard Edition (J2SE) 5.0 Update 11

How do you have LW set to shut down? Tools > options > system tray. If you have it set to shutdown after transfers, it won't completely close until any down/uploads are finished. If you've got it set to shut down immediately & it's not shutting down properly, try the fix below.
Delete LW's preferences folder when LW's properly closed. See point 3 here & also point 2 if you've used older versions of LW in the past (there could be a folder in either location).
Fixes for LimeWire
This will kill all of your settings within options, you'll have to go back through afterwards & reset things. If you're not sure of your settings, go through LW's tools > options & write them all down, so that you can reset things later.
LimeWire Pref Folder in Vista

Well I already tried to reinstall Limewire first and then ZoneAlarm and it didn't work. But I decided to try it again, just in case. And it worked this time. I don't know whats going on anymore, this is very confusing.

Oh, and now Limewire actually shuts down when I tell it to.

I hate it when problems mysteriously solve themselves.

Thanks!