Sounds like your firewall. There's about 6 ports you've got to open. If you're using a filtering, stateful firewall, then you're going to have to unrestrict those ports; it's probably normal http packets, but you'll need outbound rights. Plus if you've got any kind of application detection.
You can also try dropping your firewall for a 30 second period to see if it connects through. If it does, you know it's your firewall, and if it doesn't, then it's probably an installation bug.
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