The "Need more sources" error means that a connection cannot be made between yourself and the remote peer. There could be several reasons for this, such as the remote user going offline by the time you try to download the file or the remote user cancelling the upload as they seen one starting up. Another common cause is if you and the remote peer both cannot accept incoming connections.
Normally when you download a file over a file sharing network, your client will try to make a connection to the remote peer to retrieve the file. If the remote end cannot accept incoming connections such as if they have a restrictive NAT or firewall, then yuor peer will send a message over the network to the remote user using their existing connection to the file sharing network. This message tells their client to make an outgoing connection to you to deliver the file. Obviously this gets around their NAT or firewall since most firewalls allow all outgoing connections, but block incoming connections. In WinMX, if you see a message such as "Waiting for incoming connection...", this means that the remote peer is firewalled and their client attempting to make an outgoing connection to your client.
Unfortunately, if you also have a restrictive NAT or firewall, then if even if the remote peer tries making a connection to your client, your NAT or firewall will block the connection. This means that in order to download files from someone who cannot accept incoming connections, you will need to unblock Limewire in your firewall (Windows XP firewall or other).
If you are not sure if you are using a NAT, one way to check is to bring up a command prompt, i.e. click 'Start', 'Run', type in 'cmd' and press 'OK'. Type in 'ipconfig' and press enter. If the IP address starts with a '192.168.x.x', '10.x.x.x' or '172.16.x.x', then your PC is behind a NAT. In this case, you will need to create a mapping on your router to forward TCP port 6346 (for Limewire) or TCP port 6699 and UDP port 6257 (both for WinMX) to your PC. As each router has quite a different layout, you will need to refer to the manual for your router to do this (assuming you are using a router).