Read this
Connection problems? Check here first!

Make sure you're only running 1 firewall & that it's configured for LW. Do the port test & see what result you get. Read all the info about UPnP, if your router supports UPnP make sure it's enabled within the router & ticked within LW's options > advanced > firewall config. Also read about internal firewalls within modems/routers... if yours has a NAT firewall you may need to port forward.

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