Ok, here is my setup.exe.
I've also opened ports 5121 and 6121. I know my ports are opening fine, since uTorrent works fine, and when I probe them they are shown to be open.
To my knowledge I am not running any proxies. My internet connection is with BigAir Wireless, not sure if that makes a difference. I've asked them, and they do not close any ports for any reason.
As for the error, I simply go through all the steps, type in my account name and password and it comes up
Failed to connect to server
Hope this helps! =S