I'll move this into the Mac OS X support section, stief or LOTR should see it there & can hopefully help you out more (being Mac users).

Until a Mac user gets back to you: just make sure that there's no firewall provided as part of your ISP's service (some ISPs do provide an extra firewall).

Also, having chat enabled within LW's options (see link below for how to access options) is pretty helpful for direct connecting.
http://www.gnutellaforums.com/160912-post3.html
Although you're going to have to deal with the firewall issue as well! Bear in mind too, even if you do eliminate your firewall issue, the person you're trying to direct connect with will have to make sure that they aren't firewalled either...unless both of you see the clear blue globe (no brick wall), direct connect won't work.