From what it seems, the program is blocked by Windows Firewall or by your security software. In order to fix the issue, navigate to Start > Control Panel > System and Security > Windows Firewall > Allow a program through Windows Firewall and check the box next to sXe Injected. If you can't find the application in the "Allowed programs and features" window, press the Allow another program button, navigate to the installation directory, select the executable file and press Add.
Next, from the Advanced Settings select Inbound Rules > New Rule. Check the Port box, click Next, select All local Ports and follow the self-explained steps.
After that, add sXe Injected to the Exception list of your antivirus. If the problems persist, remove the sXe Injected software from your PC (Control Panel > Uninstall a program) and download and install the latest version from the official website.