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

Have you been through all the advice here & checked out enabling UPnP or port forwarding if your router has an internal firewall (most do)?
Connection problems? Check here first!
Did you do the port test & did it work?

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