It might help us to have some details of your firewall and other facts about your equipment, if you are using a router etc. Remember you might have to wait several minutes to get full connection, and it is possible you are trying to connect unsuccessfully as an ultrapeer. You can dissable ultrapeer capabilities in options or preferences. I'm not sure exactly where as I don't have LW open but start from the top and you will find it
This MIGHT solve the problem. Other wise let us have more details.