1. Make sure your Linksys is set for UPnP. To enable it see intructions here
Connection problems? Check here first! (click on link) under the UPnP section.
2. You should have your firewall turned on. But configure it so it allows LW full access:
Firewall configuration instructions (click on link)
3. Under the help menu of LW, it will show both the LW & Java version. Make sure your Java version is at least 1.5. If not, then update it.
4. If all the above don't work, then check the 1st link & look at the 3rd section of that page about port forwarding. Forward a port, but don't use the same port any other application or other user of LW is using. The default is port 6346. If someone else is using that, then forward a port like 64049 & put that port into the LW advanced firewall settings also. The main step of port forwarding is the 1st one which is setting up a static ip. And don't forget to save all settings & restart LW. Some routers you need to reboot before changes come into effect. I'm not sure about Linksys.