If using UPnP isn't working, try port forwarding...see if that gets rid of the firewall.
The instructions for your router are here
http://www.portforward.com/english/r...r2110index.htm

Don't forget to set up a static IP address first. Remember that LW's listening port, port in the 'manual port forward' box & port forwarded thru a router must all be the same number

If you're using a software firewall from Plusnet, you should turn off the Windows firewall. Don't run 2 software firewalls together, they'll interfere with each other. Choose 1, configure it to allow LW & turn the other one off.

What version of Java are you using?