Make sure that you're only using 1 software firewall & that it's configured properly
Firewall setup

If your using a modem/router, most have their own internal firewall. this might be what LW's detecting. If your router supports UPnP, try enabling it & then choosing the UPnP option within LW's tools > options > advanced > firewall config. Some routers don't work too well in UPnP mode, so you might have to use port forwarding. There's a lot of info about both in the thread below.
Connection problems? Check here first!

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

Being firewalled doesn't always mean you can't download but it does usually mean that other people can't download from you (so you'll see no uploads).