What happens when you turn off all your firewalls and try to connect?
IIRC there are several ports used just for outbound packets alone : 2 tcp ports needed as well as a (possibly dynamic) udp port.
What I have done to get it working is just forward the ports for both the tcp and udp protocols. Doesn't matter anyway. You should only close it for security reasons
Don't forget to open the appropriate ports in your router firewall by the way. If the firewall is enabled it's likely that all ports except the widely used ones (21, 80, 110) are blocked by default. That's what my router does anyway