You need to go to the connection problems section & read the sticky there. The first part "...start here first". Make sure you're only running 1 firewall ( 2 together will cause probs) & that it's configured properly. Read all the stuff about modems/routers (ie using UPnP & port forwarding). The problem might lie there. Do the port test & see what result you get.

If you can't get things working, post back to this thread with 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