Did you have UPnP enabled or port forwarding set up through your router originally? If so, you might have to go through & set it up again (LW might be detecting a firewall within a modem or router).
If you're using XP, have you made sure that the XP firewall is off?
How many green connection bars do you see? I guess you see the firewall icon?
Don't know if you've seen this sticky but it's got lots of tips for solving connection problems & info about UPnP & port forwarding.
Connection problems? Check here first!

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