Download a file from here & see what speeds you get
http://www.magnetmix.com/video.shtml

Do you see the firewall icon (brick wall)? Have you tried other p2p apps & if so, do you have the same problem? What's your speed? You can do a speed test here:
http://www.magnetmix.com/video.shtml

Check out this thread, it has good tips for optimising LW's performance
Configuring LW for best performance

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