Make sure that you're only using 1 software firewall & that it's configured properly
Firewall setup
How many green connection bars do you see?
LW might be detecting a firewall within your modem/router. Read the UPnP & port forwarding info in the thread below. If your router supports UPnP, enable it & choose the UPnP option within LW's tools > options > advanced > firewall config. Otherwise, you might need to manually port forward.
Connection problems? Check here first!

Did you try downloading a magnetmix file? What speeds did 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