How many green connection bars do you see at the bottom of the screen?
If you're not seeing any, or if you only see 'starting connection' then read through this sticky
Connection problems? Check here first!

Make sure that you're only using 1 software firewall & that it's configured properly. Do you see the firewall icon (brick wall in front of the blue globe)?
If you're still stuck, post back with your details (post #2 of the sticky will show you what info we need).