Just make sure you're not running 2 firewalls & double check your firewall settings here
Firewall setup

What kind of connection do you have? A lot of high speed modems have internal firewalls, that might be what LW's picking up. Go through this thread, it has a lot of info about enabling UPnP & port forwarding to get around this problem.
Connection problems? Check here first!

How many connection bars do you see? You'd also be seeing the firewall icon?
If you're still stuck after going through the connection problems thread, 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