Make sure you've set up your Norton firewall to allow LW access. Keep the XP firewall off, the 2 won't work together. See below for firewall help
Firewall setup

Read through this as well, it's got heaps of info to help with connection problems. Do the port test (link within thread) & see what result you get
Connection problems? Check here first!
If none of this helps at all, 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