If you have never been able to connect, contact your Internet Service Provider (ISP) to find out if they block peer-to-peer connections. Many ISPs now block or limit peer-to-peer traffic in order to reduce the burden on their servers, most likely they have been asked to do so by the RIAA.
Also ask if you are connecting through a proxy. ISPs that provide high-speed-like connections through normal dial-up connections use proxies, and many satellite connections also use proxies. LimeWire will need to be configured to work with your proxy by going to Advanced > Proxy within the LimeWire options.
If your ISP sent you a modem, ask if it is equipped with a firewall.