Go into the Connection Problems section & read the sticky there (there's only one). Check out the first part "...check here first". Don't run 2 firewalls together. Make sure the one you use is configured for LW.

Read through all the info about routers - UPnP & NAT firewalls. These are often the cause of a firewall issue. Find out whether your router has either of these features. There's a lot of info about how to deal with these issues.

If you can't fix the problem, post back with your details ie

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