Are you sure you have Java installed correctly?, download the installer from the link up there
Do you have an open port and configured Lw to use it?
if not, please visit www.portforward.com for details on how to do that
Do your Isp blocks/trhotles p2p traffic?
call them to find out
What OS do you have?
Win Xp, Win Vista, Win 98,etc

Please answer and help us to help you