Go to Start > Control Panel > System and Security > Windows Firewall > Allow a program through Windows Firewall and check the box next to SignX Media Editor. If you can't find the game 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.
After that, from the Advanced Settings select Inbound Rules > New Rule. Check the Port box, click Next, select Specific local lorts, type 5200, click Next and follow the self-explained steps. Also, make sure your security program doesn't block the connection.
If you're trying to send the message to an RGB sign, you shoud connect to the wireless router for each sign before sending your message. Right-click the Wireless icon from System Tray, select the wireless access point and follow the provided instructions.
For further information, launch the software, navigate to Help menu and click the Help Topics button. After that, check the Sign Setup and Sending your message sections.