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

Have you made sure to configure your software firewall (if you use one) to allow LW access? A lot of connection issues are discussed here
Connection problems? Check here first!

Have you used p2p before? Something is blocking the default port... maybe your ISP?