Could be for a few reasons. One is to make sure your java is at least up to: Java 1.4.2 (click on link)

Second is to wait & allow the window to settle.

Third might be b/c LW is being blocked either partially or totally by firewalls (incl. a modem NAT), etc.

Can you give us a total desciption of your set up: 1. OS version, 2. What firewalls you have, 3. ram, 4. HDD space available, 5. Connection type, 6. Modem & router brand name & model numbers, 7. Where are you trying to connect from (home, school, work, etc.)?