I think the Dir. server might need a reboot, I can run a tracert to it, which is successful, I have no firewall or anything up, but I still get the firewall message.
The firewall message will actually appear everytime you cannot connect to the directory server and a firewall is only one reason for not doing so. It will also appear if you are not connected to the internet, or the directory server is not running, or if the directory server is still running but has locked up. Connecting to the directory server also requires the correct ports to be open, and a problem here (router, firewall or even ISP port blocks) will give the same result.