Rather than disabling your firewall, it's better to configure it to allow LW access
Firewall setup

Don't forget that XP has it's own firewall & it will conflict with any others (eg Norton, ZoneAlarm). If you're running 2 firewalls, turn off the XP one & configure the other. If you're just using the XP firewall, configure that. Give it some time to settle down & then see if LW opens. If that doesn't help, post your details (excuse the repeat questions!)

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