I can play Warcraft III online without any problem, but when I try to host a LAN game, it doesn't work.
Try to unblock the game in your Firewall settings:
Click "Start" then "Connections" then "show all connections"
Double-click your Internet connection, and then click "Properties", then "Advanced", then "Settings ..." (Windows firewall), then click "Exceptions"
You must have the file "War3" and the file "Warcraft III" listed as exceptions,
To do so, via the "exceptions" menu, click on "Add a Program", double-click on Warcraft III if it is not already in the list of exceptions.
Next click on "browse", then look after the directory where you installed open the folder and double-click the file "War3" then "OK".