You have to allow it in your firewall. If you have XP Firewall, you should get a pop up warning, if you have other 3rd party firewalls you need to allow it in the list and it you have a hardware firewall, then you need to allow it there.
Look at the Limewire help text, that should show you what ports are required.
Good luck, I hope you have a good virus protection :)
Darren
September 2007