that's a firewall issue. are you using the stock windows firewall, or a 3rd party one? if using 3rd party, you need to add an exception that allows GW to go through. i know zonealarm will often mess with GW.
i'm currently working on a xp laptop, so i won't be able to see the exact settings you have. what you have to do is go to control panel and go to security panel, click on firewall, and look through the menus/options to add an exception to gwsetup.exe and gw.exe
Are you at a college or workplace and using their network? It may be the network that is blocking you... this is not an uncommon problem at many colleges and workplaces.