Have you configured your software firewall (like Sleepless says, only use 1)?
Firewall setup

You'll find a heap of info about firewall/connection problems in this thread
Connection problems? Check here first!
High speed modems & routers have their own internal firewalls... see the sections about enabling UPnP & port forwarding.

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