Make sure that you're only using 1 software firewall & that it's configured properly
Firewall setup

Go through this thread, it has heaps of info about connection/firewall problems. Find out whether your modem/router has an internal firewall (most do)... enabling UPnP or port forwarding will usually fix this problem, there's a lot of info about both of these fixes. Do the port test & see if it works.
Connection problems? Check here first!

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