If you are connecting directly to the SETI servers, they are likely just busy on their end. If you are connecting to the Team Proxy server, it is normal for your first ever connection to time out.
In either case, the solution is to quit and relaunch SETI. It will try again to connect.
If you are using the Team Proxy, the connection will work normally on the second attempt. If you are connecting directly to the SETI project servers, they may still be busy, but you will presently get a work unit.
If nothing works, please post again. Your proxy settings could be wrong, or something misconfigured on the router. Scott is our router expert.