What's your connection like (how many green bars)?
Rather than run without a firewall, it's way better to use just 1 software firewall & have it configured properly. Follow this link for some instructions for different firewalls
Firewall setup

Have you read through this thread... it has heaps of info about firewall problems. Your modem or router probably has it's own internal firewall, read through the sections about UPnP & port forwarding
Connection problems? Check here first!

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