It's possible that the program which you want to connect to the Internet could be blocked by your Windows firewall or by your antivirus firewall. You should check these settings first. To do this, swipe from the right side of the screen, in the search bar type allow through firewall and open the service resulted. In the new opened window, search for the application and make sure that both spaces are checked. Click OK and try again to connect. If you can't, check your antivirus firewall settings. If this didn't solve your problem, the cause for it could be an internal error of the application or a problem with the server. Try to contact the developer on the official website for further support.