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

Your problem might be coming from an internal firewall within a modem or router. Read through the thread below, it's got heaps of info about connection/firewall problems. Do the port test & see what result you get
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