Rather than running with no firewall, it's a better idea to have 1 firewall that's properly configured. Most routers also have an internal firewall. Have a look through this sticky, it has info about configuring software firewalls & also devices' firewalls (enabling UPnP & port forwarding). YOu can find out whether your modem/router has a firewall by going through the manual or searching online!
Connection problems? Check here first!

Do the port test, see if it works.
I guess you see the firewall icon (brick wall)?
If you're still stuck, 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