Has anything changed (hardware, software, ISP, internet plan etc) since you were able to connect?
Check that you're only using 1 software firewall & that it's configured properly
Firewall setup

Do you see the firewall icon (brick wall)? Read through this thread, it has advice for firewall/connection problems
Connection problems? Check here first!

If you're 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

If the test worked, it means that LW's default port isn't blocked.