Did you try downloading a magnetmix file (that was one of LOTR's suggestions in the thread I linked to earlier)? What happened?
Are you seeing the firewall icon (brick wall)?
Are you fully connected - how many green 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, student accommodation etc)
Are you sharing a connection with other computers
Is this your first try with LW