Do you mean that LW's not connecting to files that you try to download, or do you mean that LW's not properly connected to the network (few or no green/blue connection bars)??

Are you seeing lots of search results?

If you're not seeing search results & LW's not properly connected, try the fixes in the thread below. If nothing there helps, post back with your system details.
If LW Will Not Connect

If you are seeing search results & LW is connected, but files aren't moving into the download pane, try the advice below.
Cant download at all - nothing happens when I click download (click on link)

If files are moving into the download pane, but sit connecting for ages & never actually start to download - try the advice in the thread below.
http://www.gnutellaforums.com/331247-post2.html