The firewall might be within your modem/router. Have a read through this, there's a lot of info about internal firewalls within routers & ways to solve the firewall problem (enabling UPnP & port forwarding). Rather than disable your software firewall, it's better to configure it to allow LW access. You'll find links for firewall setup within the thread. If the firewall's coming from within a device, deleting your prefs isn't going to change that.
Connection problems? Check here first!

If you have no joy there, post back with 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