You are getting a firewall from somewhere. Possibly from your ISP.
You say you have a router but it has no firewall. Most (not all) do, so are you sure. Most routers have internal NAT firewalls.

If you're networked & can connect from other computers, then perhaps the problem is with your network set up. Not in regards to connecting but for others to access your computer. Since LW tends not to allow connection sometimes if it senses a firewall.

BTW you don't have to install LW on C drive. And also don't need to have C drive as your downloads location.