The first thing to do is work through the connection sticky. You may want to look at other things to do like allowing your client as an exception in your real time anti-virus scanning (do manual scans frequently) or port forwarding (if yours is the only computer accessing lotro through that router at the same time).
You will also want to reset your router by turning off the modem router and computer, then turning them back on in that order and let each cycle completely through before turning on the next.
If you get that message after an update, the very first thing to do is take the client out of the firewall exceptions and add it back in. Sometimes changes to the client can cause a firewall to forget that it is the same program it was before.
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