Go through the sticky at the top of the page. The first part "... check here first". Make sure your firewall's configured. Do the port test. Enable UPnP if your router supports it.

What are 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