Do you see any green connection bars? Do you see the firewall icon (brick wall)? Read through this sticky
Connection problems? Check here first!

Make sure you're only using 1 software firewall & that it's configured properly. Do the port test & see what result you get. Read the parts about modem/router problems (enabling UPnP & port forwarding). If you're still stuck, post back with your details. The second post will tell you what info we need