LilCountryGirl,
What does the error message say? Is it telling you that LW can't initialise & start due to a firewall, or is it a different error?

sgirl,
Read through this sticky
Connection problems? Check here first!
Make sure you're only running 1 firewall & that it's configured correctly. Do the port test & see what result you get. Read through about UPnP... if your router support it then make sure it's enabled & ticked within LW's options > advanced > firewall config. Find out whether your modem/router has a NAT firewall that might be causing probs.

If you have no joy, 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