The firewall might be within your modem/router. It's pretty common. Just get your firewall back on, configure it like the link said, find out if your router uses UPnP. If it does, enable it like I said in my last post.

Try it. What have you got to lose?

If, after half an hour or so, it doesn't help post back your setup:

OS
Firewalls
LW & Java version (Help > about LW & it'll tell you)
Connection type (dial-up, ADSL etc)
Modem/router brand & model (very important)
Where you connect from (home, school etc)
Are you sharing connection with another computer
Is this your first try at using LW