Don't run without a firewall, just configure the firewall to allow LW through. Read through this sticky, it tells you how to configure firewalls. Do the port test & see what result you get. If your router supports UPnP, make sure it's enabled within the router & ticked within LW's tools > options > advanced.
Connection problems? Check here first!

Read the stuff about NAT firewalls in modems/routers. Does yours have one?

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