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 Psiphon3. 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, reinstall the application.
As you can see, the servers are working fine on my computer after I configured my antivirus and Windows Firewall to allow Psiphon3 to communicate: