Download a file from here & see what kind of speed you get
http://www.magnetmix.com/video.shtml

Has your connection status stayed the same? How many green connection bars do you see?
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

You're obviously using the UPnP option, have you also tried port forwarding?