Turn off your firewall, or refer to the following Knowledge Base article for firewall configuration info: Article 12293.
Verify connectivity to the Internet.
Verify that Internet Explorer is *not* in Offline mode. Start Internet Explorer, and from the File menu, make sure that "Work Offline" is *not* checked.
Finally, this can also happen due to ports being blocked by a router in use. Try turning off your router for 15 seconds, then turning it back on.