It means either your software firewall on your computer or the internal NAT firewall on your modem/router is blocking. You need to configure them. Best advice is to browse thru this: Connection problems? Check here first! (click on link)

ie: Section 1 deals with your computer software firewall, section 2 deals with setting up UPnP if your connection device has this option or has a reliable implementation of the technology, section 3 is about opening a port manually thru the device; port forwarding. The latter is generally the safest if you have a connection device with an internal NAT firewall.