In many cases failure to make connection to the internet is because of 3rd party firewall software or other internet security software causing interference. Properly designed security applications should detect when an application is trying to connect to the Internet, and then prompt you about it giving you the ability to allow the application to connect unhindered. However, this is often not the case.
Note that even disabling the security application through its interface may not be adequate. In many cases, we have seen that the only solution is to uninstall the software completely, and restart your system.
We believe that the default Vista and XP firewalls are adequate in puting your system into complete stealth mode. There are a few tests you can run. We like the ShieldsUp test at www.grc.com.
So if you have trouble connecting to the Internet through a software application, check to see if you installed any security applications that act as a firewall. It may be preventing you from doing what you want when you use your computer! If you do require this additional security software, select one that gives you complete control and administration over what it does on your system. Your security software should have easy methods of adding exclusions so that the software that needs to connect to the internet can do so. Usually this should be a point-click-and browse feature that would allow you to browse to the application that needs access. It would then be added to the "allow" list of your firewall.
It is common however that these types of security products act in such a way so that they do cause interference, even when customers believe the security product is configured correctly or disabled. Disabled is usually not really disabled with these types of products.
The failure for software applications to connect to the Internet because of 3rd party firewalls is common, and it is not in the control of the software developer that made the application. Software programs usually uses certain standard Windows protocols to connect. So if you do have trouble getting software to work through your firewall, either try to completely remove the firewall application, or contact the firewall designer for support on how to configure their software for your particular need.