Do you see any connection bars at all in LW? Have you made sure that you're only using 1 software firewall & that it's configured properly?
Firewall setup

Your wireless modem/router probably has it's own internal firewall, which could be effecting your connection. Have a look through this thread, check out the sections about enabling UPnP & port forwarding... you might have to think about one of these options. Were you port forwarding through your old modem?
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