Well, that's informative

Read the sticky at the top of this page. Focus on the part "Connection probs - look here first". It will explain how to configure your firewall (don't run 2 at once) & also take you through the most common causes of connection probs. Make sure you read the bits about UPnP and NAT firewalls, your modem/router might be the cause of the trouble. Do the port test.

If you really are still stuffed, post back with your details:

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