What's your connection like (how many green bars)? Do you see the firewall icon (brick wall)? Has this always happened or is it a recent problem? Are you downloading from multiple hosts?

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

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, student accommodation etc)
Are you sharing a connection with other computers
Is this your first try with LW
Have you used any other p2p apps & if so, do you have the same problem