Ummmm...you have to give some info, we don't have a crystal ball

What download speeds are you seeing? How many hosts are you downloading from & what connection types? What size files are you downloading? How fast's your connection? Have you done a speed test? How many green connection bars do you see? Do you see the firewall icon (brick wall)?

Do a speed test
http://www.dslreports.com/speedtest?more=1

There are some good tips for optimising LW's performance here
Configuring LW for best performance
After you've done a speed test, go through this thread & set up LW according to your download & upload speeds.

What are your details?

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