Depends on brand & model of router you have too. I know with mine, it clashed with my software firewall & UPnP stops functioning. My answer in OSX is to disable my software firewall whilst using LW. Answer for windows, I suspect would be to port forward instead so you can keep your software firewall running. But this I am not sure.

* Make sure you do not have more than one software firewall running because they will clash with each other & cause problems, resulting in side effects & less security not more. XP & Vista come with their own firewalls, so if you are using a 3rd party firewall, choose between them & disable the one you don't wish to use.