You shouldn't have two firewalls active at the same time.(they'll interfere with each other). Turn off your windows firewall and make sure McAfee is configured to allow LW access to the internet.
Port Forwarding for the McAfee Security Center
Not sure about your modem, it may need configured. There's some info on it here:
Cable Modem Support / RCA Modems. Are you also using a router? If so, what's the make and model?