Did you configure your firewall so it allows LW full access (advisable not to have 2 active firewalls b/c they can interfere with each other);
Firewall configuration instructions (click on link)
The issue might be your modem/router if it has a NAT firewall & most adsl modems do. What brand & model of modem/router do you have?
Check your spam firewall to make sure if LW needs permission to connect to the net.
After LW's been open for 15+ mins, Do this test:
Bug Report instructions & sample image Is the result True/False?