Read through the sticky at the top of this page. The first part "... check here first". Do the port test & see what result you get. There's a lor of info about routers, UPnP & internal firewalls, see if any of it applies to you

What are 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