Make sure that you're only using 1 software firewall & that it's configured properly. It's better to have a configured firewall than to run without one!
Firewall setup

Read through this thread, it's got heaps of info & solutions for connection problems
Connection problems? Check here first!

If you still have trouble, post 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