Something's blocking LW's default port. Maybe your ISP? Try using a different port (64049 to start with). Within LW go tools > options > advanced > firewall config. On that page you can change LW's listening port (Apply to save any changes).

You're way better off using a software firewall than running with none. If your NSW doesn't have a firewall included, you can enable the XP one...it's better than nothing. Check below for config instructions
Firewall setup

If changing ports has no effect, I'd give your ISP a call & find out their poilcy on p2p. If they're blocking ports, it's doubtful whether you'll be able to use p2p. Check out the Teton acceptable use policy (click link)...they don't definitely say that they block p2p but there are a couple of points about copyright infringement...it's worth checking out.
http://tetonwireless.com/T&C.htm

Your router has an internal firewall, that's why you see the firewall icon even when you're not using a software firewall. If your router supports UPnP, enable it within the router. Then go back to that LW firewall config page & check the Use UPnP option. Give it a while to settle down (say half an hour). If the firewall icon's still there you might need to port forward through your router. Check the link below & find your router...there are a few different versions of the BEFSR41, so you'll have to look through & find your version.
http://www.portforward.com/english/r...outerindex.htm

Follow the instructions there & don't forget to set up a static IP address before doing the port forwarding