Do you have what's known as a modem? Generally the cable will connect to a modem (a small box perhaps 20 cm/8" in length & 10 cm/3-4" wide, etc.) which then connects to the computer. On the top, side or bottom of the modem there should be a name & model number. Also did you purchase the modem or rent it? You should have instructions with it.

By the way, did you update your Java? Do that, then leave LW running for over an hour & see if it connects at all. See if there's any more than one green bar on the connection quality at the bottom left of the main LW window.

Which operating system are you using? If you're using Windows XP then it will have its own firewall!