Are you fully connected? Do you see the firewall icon?
Can you download a file from here
http://www.magnetmix.com/video.shtml

How long have you been getting zero speed?

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