(getting a sudden creeping feeling the win32 client may differ from mine)....
tools menu>statistics> then click on the Activity tab. Easiest way to limit is just to right click the up or download limits in the bottom right hand corner.
Note, I have seen some weird shit if you use the download limiter....once I set it quite low on a busy torrent....about an hour later the machine started swapping something HUGE around and being very odd. I noticed that azureus was now using 92% of my physical ram ( I really need to sit my penguin down and discuss what consitutes a system critical process and what consitutes something that can be swapped out....I'm fond of things like the desktop being in ram :)....anyway it only did this once). I also noticed my connection was still just as activee as before I'd limited it.I had a thought and set the download limiter back to unlimited.....WHAM!!! my download speed went to like 12MB/sec. Seems azurues far from sending choke packets back to peers to reduce download speeds, was just pretending, and all the time GULPLING data down and shoving it into a disk buffer like a bloody squirell with his cheeks full of berries.
Anyway, watch out for it.
And TRY to open the ports it wants....you can still connect, with them closed, but not to any other user who also has them closed.