If you have a Norton firewall (ask your Dad if you're not sure), turn off the windows firewall & configure the Norton to allow LW.
PortForward.com - Free Help Setting up Your Router or Firewall

Try this earlier version of Java. Use the JRE offline installer & remove your current Java before you install this version.
Archive: Download Java 2 Platform Standard Edition (J2SE) 5.0 Update 11

That router does have a firewall, but I can't find any instructions for port forwarding. I can't even download the user guide to check Have a look at the manual that came with the router...see if there are any instructions. You could also have a look at some of the Zonet models here. Check the instructions & see if anything looks similar to your router.
PortForward.com - Free Help Setting up Your Router or Firewall

Thanks for help!

The first two links didn't help, but the third seems to be good.
The router similar to my is this one: ZSR0104CPv2 but I don't know what to write in external and internal port.

EDIT: And I don't know what to write (switch) in the "Protocol".

In LW tools > options > advanced > firewall config. You'll see LW's listening port. Make sure that the same port number's in the 'manual port forward' box on that same LW page. Put that number into internal & external port fields.

As for the protocol, you'll have one rule for TCP (protocol) & another for UDP (protocol).