Have you read this? There's a lot of info about firewall problems
Connection problems? Check here first!

What are your details (sorry about the repeat questions!)

OS(Win XP etc)
LW & Java version (help > about LW & you'll see)
Firewall you're using
Modem/router brand & model
ISP
Connection type (DSL etc)
Where you connect from (home, school etc)
Are you sharing a connection with other computers
Is this your first try with LW

**Are you trying to download new releases or very popular stuff? There's a kind of fake file around now which has loads of sources but will never download... just sits 'connecting' forever. Try to download a file with 10 sources or less. If you're looking for video, check out the file with Bitzi before download
How to use Bitzi
Try downloading an old file (from a year or so ago) & see it it will connect.