When LW is open, click Tools->Options & go to Bug report & click for an example. In the window that appears scroll down to the part that says: "Recieved incoming this session". If it says ‘True’ then LW has no problem with firewalls, but if 'False' it does have a prob.

Make sure you have the last version of Java for OS9: http://docs.info.apple.com/article.html?artnum=120209 (java is very important to LW.)

Try leaving LW on for a reasonable period of time.

Did you rebuild desktop after installing LW? It's good for the overall system. Occasional defragmenting & run thru with disk/file utilites such as norton can also help.