Did you go through the "Connection problems? Check here first" sticky? If not, please do...there's a link somewhere at the start of this thread. It's better to have your firewall configured rather than turned off.
How do you have your router set up (UPnP enabled, port forwarded or nothing)?
Have you tried enabling UPnP or port forwarding?
Where are you connecting from (home, work, school, student accommodation etc)?
Are you sharing a connection with other computers?
If you're using SP2, have you tried any connections patches (like I mentioned in my last post)?
Who is your ISP?
What version of LW & Java are you using?