Make sure that you're only using 1 software firewall & that it's configured properly
Firewall setup
Do you see the firewall icon (brick wall)?

Read through this thread, it has lots of info about connection problems
Connection problems? Check here first!
Check out the info about modem/router firewalls... you could try enabling UPnP if your router supports it & choosing that option within LW's tools > options > advanced > firewall config. Port forwarding is another option (often more reliable than enabling UPnP)...there's info about that too.

If you're still stuck, post back with 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