Read through this, it's got heaps of info about connection/firewall probs
Connection problems? Check here first!
Make sure that you're only using 1 firewall, more than 1 will cause trouble. Your modem/router may have it's own firewall... see the info about using UPnP & port forwarding. Do the port test & see what result you get!

If you're still stuck, 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