Is the machine with the wallet connected to the Internet? Is there some over-zealous firewall blocking port 8333?
Make sure that your firewall on your computer or router is not blocking port 8333. The warning just means that Bitcoin Core has not downloaded any blocks.
Both of you are wrong. Most home modem don't specifically block outgoing port 8333 hence, Port forwarding is not needed to run Bitcoin Core. You only need to open TCP 8333 if you are looking to help the network by running a full node. The warning means that Bitcoin core cannot find the node with the blockchain.
Edit: thanks to ciyam for the correction.