You need to read through the thread below, it has heaps of info about connection problems.
Connection problems? Check here first!

Make sure you're only using 1 software firewall & that it's configured properly. Do the port test within that thread & see what result you get. If you're using a modem or router, they usually have their own internal firewall... read the info about enabling UPnP & port forwarding. You might have to do this for your device!
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