The INSIM connection message should be instant after loading an INSIM application, or at worse a few seconds. If you have a software firewall this can indeed cause problems for INSIM programs, your software should ask you permissions to let the INSIM program work over the network and you need to agree (because connection to LFS is via a network connection, even though it is local).
Hardware firewalls (router) should not be a problem, because they worry about data in a very different way and have no effect on local traffic.
Every INSIM program has a minimum of TWO UDP ports, and if the config lets you set both then it is the UDP out or send port that needs to match the number typed in lfs with the "/insim 29999" command.
ie: If my program has an insim send of 30000 and an insim get of 29999 I would need to type /insim 30000 in LFS so that the send port of my program matches the listening port of LFS.
That's really the key, matching the port that you are sending data to the port that is receiving it.
Some programs will let you set the IP address of the machine to connect to. Usually you would set this to "127.0.0.1" which is the machine the software is running on. If you are running the software on a second machine you need to enter the local area network address for the other machine, this should start with "192.168.x.x" but could be 10.0.0.x or even 128.0.x.x. You can get exact details from the network connections panel.
Oh one last point, if you have ever hosted a game locally and you gave it a password then your INSIM will be protected by the same password. Either type the password into the INSIM application so that the password is sent, or clear the password in LFS by hosting a new multiplayer game.