Are you trying to connect on a network? If you're just on a single computer, are you logged in as an administrator?
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

I don't really have that much of a clue but this info will help anyone else who might know a bit more