What firewalls do you have? XP has a firewall built in, not advisable to have two firewalls running at the same time.
Can you give some details about your setup?
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
Post what you can and someone will try to help
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