Unfortunately, the game doesn't have a save option. In order to fix the issue, go to Start > Control Panel > System and Security > Windows Firewall > Allow a program through Windows Firewall and check the box next to Chess4Net Skype. 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.
After that, 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. Also, make sure that your security program doesn't block the connection. If the error persists, check your Internet connection and download and install the latest version available from the official web page.