Did you onfigure your Norton firewall 1st to allow LW full access? Configuring Norton Internet Security. Also make sure your XP firewall is disabled if you're running Norton. Otherwise the 2 will clash.

What brand & model of modem/router do you have? It may be related to an internal NAT firewall your connection device has. If your device supports UPnP then enable it.

AFAIK I think if your firewalls are already configured you don't have the problems with the setup dialogue.