Please give this information as per my first reply. If anyone's going to be able to help you, they need specifics. For example, saying you have a modem isn't enough. As you see below, we need to know the brand & model.

If this isn't any help, tell us your details
OS(Win XP etc)
LW & Java version (help > about LW & you'll see)
Firewall you're using
Modem/router brand & model
ISP
Connection type (DSL etc)
Where you connect from (home, school etc)
Are you sharing a connection with other computers
Is this your first try with LW

Did you do the port test? What was the result? Did you find out whether your modem uses NAT?