Don't use 2 software firewalls at once - they'll conflict with each other. Turn off the Windows firewall & make sure that McAfee's properly configured to allow LW.
Port Forwarding for the McAfee Security Center

Can you find a model number for your router (eg F5D7010, F5D 8230-4 etc)?

Who is your ISP (which company do you pay for your internet)?

Is this your first try at using LW?

Do you know whether you're using your router with UPnP enabled, or a port forwarded?

Did you try all of the fixes in that help thread? Did you have trouble with any of them?