When you use LW, you connect to the Gnutella network...a network of computers which are sharing files. The network's made up of users like you & me.
Anybody who's using a Gnutella client (a program like LW, BearShare, Morpheus, Phex etc) connects to the Gnutella network for their file sharing...you choose which files you want to share & then they're shared on the network, for other people to download.
Howstuffworks "How Gnutella Works"
Gnutella - Wikipedia, the free encyclopedia

If you're not connected properly, have a look here for some fixes to try. If you're new to LW & file sharing, don't panic - just go through the fixes slowly & there are links to other threads with more info. If you still can't connect, post back with your system details...the thread here has info about the details that we need.
If LW Will Not Connect