On your Windows Vista, 7 or 8 client machine change or add the following registry item:
HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services\PolicyAgent
New DWORD (32-bit) Value:
AssumeUDPEncapsulationContextOnSendRule
Set the value to 2
This allows the client or server to be behind a NAT firewall.
Reboot after making the change, and retry the connection.