What firewalls and router do you have? If your using XP it has a firewall also. Advisable not to have two firewalls on at the same time.

Have you seen this thread: Connection problems? Check here first!.

Post back with more info on your setup and we'll try to help.

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 etc)
Are you sharing a connection with other computers
Is this your first try with LW

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If it ain't broke, fix it till it is!