It's still possible to be firewalled but have one out of a hundred actually force their way thru to get a downld. That's one of LW's abilities. But the % of this being successful is extremely low. So ...
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)
Did you set your modem/router for UPnP? Here's a Linksys example:
Linksys UPnP setting (click on link)
What brand & model of modem/router do you have?