What kind of connection have you got?
If its a modem, check to see if your modem is 'speaking' to your computer. Do this by going to My computer (right click it) properties/device manager/modem (right click it)/diagnostics and click the 'query modem button. If not, reinstall it, if so check your firewall is not blocking its connection.
If its a server or cable connection (along that line), you mentioned that you configured it already. Double check them and make sure that your firewall settings are accepting the connection. I had a similar problem once.