Ok, explain your problem in a bit more detail. Has LW just started doing this, or have you never been able to download? Is LW fully connected? Are you firewalled? Have you changed any hardware lately? I don't think there's any problem with ISPs here (yet), so it's not likely to be that.

What's your set up?

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