LimeWire will work when a user is behind certain types of firewalls, but will not work behind certain other types. In general, if you can connect (you will see your "connection status" in the lower left hand corner of the application) using LimeWire, you should be able to download and upload files.

A firewall is a set of related programs, located at a network gateway server, that protects the resources of a private network from users from other networks or puts up a barrier that controls the flow of traffic between networks. A firewall also includes or works with a proxy server. In some cases, the proxy blocks all outside connections and only allows internal users to access the internet thus not providing a valid IP address recognized by other computers on the internet.

XWin.exe uses port 6000/TCP by default. You will have to allow incoming and outgoing traffic on this port even if you are only using local clients. XWin.exe has a builtin access control so you won't have to worry about opening the port. If you are still concerned about security, you may limit the allowed hosts to 127.0.0.1 (localhost) and the local IP addresses. If you use a different DISPLAY variable check section Q: 1.6. for details about which ports are used.