You shouldn't have no software firewall. It should be turned on but properly configured to allow LW full access; (advisable not to have 2 active firewalls b/c they can interfere with each other); Firewall configuration instructions (click on link)

The Loopback scenario is generally related to a router/modem that has a NAT firewall. The answer is to enable UPnP if it supports it, or else forward a port; Connection problems? Check here first! (click on link)