It suddenly occured to me when I was a t work today that all I had to do was to disable Windows' Internet Connection Firewall, leaving Zone Alarm enabled. I've just done this and clicking the Search -> Direct Connections tab shows the legend "When your friends want to connect to you, they should enter (IP address)" rather than the message that says my computer is unable to accept direct connections as it is behind a firewall. The bug test report also now says ""Recieved incoming this session" True".

Thanks for your help, hopefully I've now got LW configured for optimum performance!