Do you ever connect at all (just one bar), does it stick at Starting Connection or is it just always Disconnected?

Do you see the firewall icon (brick wall in front of the blue earth)?

Read this
Connection problems? Check here first!
Make sure you're only using 1 firewall (don't forget that Win XP has it's own firewall) & that it's configured for LW. You'll find a firewall link in that thread. You'll find a link to the port 6346 test... what result do you get?

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