@ Funky,
You should only be running one firewall on your system, more than that will interfere with each other and cause problems. Shut them all down except one and make sure LW is allowed through it.
Most routers also have an internal firewall in them that'll need configured(portforwarded). Try and find out the make and model of yours. It's the box your phone line/cable plugs into before going into your computer.
See:
Connection problems? Check here first! PortForward.com - Free Help Setting up Your Router or Firewall