Well, there are a couple of things:
do you have a router? Often it acts as a firewall, you may have to enable your game to access the web through the router.
ditto for a straight up firewall.
also, you'll have to play around with the PnP setting - also in the router I believe. As I recall, I had to do the opposite of what it says in VS to set it at to get my o/l sessions to work.
Sometimes, for whatever reason, a session will stay listed as an active session even after it's been shut down, so you may be trying to log into a session that is no longer active.
Just out of curiosity, have you tried HOSTING as session? If so, were you able to?