LW requires Java for operation.

I'm not sure about the Kaspersky firewall but the suggested rules are probably similar or the same as listed here Firewall configuration instructions (click on link)

If you're using Kaspersky FW, then if you're also using XP, then disable XP's firewall.

The default port LW uses is port 6346. This is usually for both TCP & UDP, but if you're using UPnP mode then the listening port (UDP) may vary. You can find the settings in LW for this here: LW's menu bar, Tools>Options>Advanced>Firewalls

If you want further information, see this link Connection problems? Check here first! (click on link)