You need to read the sticky about connection problems. The first part "... check here first" has lots of info & advice about how to set up. Make sure your firewall's configured properly & don't run 2 firewalls at once.

Many firewall probs are due to internal firewalls within modems/routers. Read all the info about this & find out if your device has an internal firewall. Same for UPnP... find out if your router supports it & make sure it's enabled within the device & ticked within LW's firewall config.