Not so good. It means you have a firewall that isn't properly configured. Check your OSX firewall to see if it's turned on. If yes, then configure it as described here
OSX Firewall settings for Tiger. Then relaunch LW.
If that doesn't solve it, then can you tell us:
1. Where you're connecting from (home, school, work, etc.)?
2. What modem & router brands & models do you have?