Do you have a home network (wireless or wired?) or is your computer plugged straight in your cable modem?
If it's plugged straight in, then it's probably your software firewall thats the problem.
If it's the windows firewall:
Windows XP users, look here: http://www.microsoft.com/security/protect/ports.asp
Windows XP Service Pack 2 users: You may also configure the Windows Firewall to allow access by application. Add Azureus and javaw.exe (usually C:\Program Files\Java\jre1.X.X\bin\javaw.exe) to the exceptions list to open access for Azureus.
Red