Do you see the firewall icon (brick wall)? Make sure you're only using 1 firewall & that it's set up to allow LW access
Firewall setup

Read through this sticky. It's big & has heaps of info about internal firewalls within modems & routers (see the parts about UPnP & port forwarding).
Connection problems? Check here first!

Find out whether your modem/router supports UPnP. If so, make sure it's enabled & ticked within LW's options > advanced > firewall config. Find out whether your modem/router has an internal firewall (often NAT). You might need to port forward.