You don't have to disable your firewall, just configure it properly. Instructions are in the sticky that I directed you to
Did you find out whether your router supports UPnP? Did you find out if it has a NAT firewall? What was the result of your port test?

Please post 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