Go over into Connection Problems & look through the sticky there, it's full of info
You'll need to make sure that you're only running 1 firewall & that it's configured properly. Do the port test & see what result you get. If you really can't find any help there, post back 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