Obviously I'm no PC guru, but until one comes along, I guess you're stuck with me. What operating system are you running on your PC (please don't say XP)? Which browser(s) are you using? Have you recently run Windows Update and made sure your system is completely up to date, including all Microsoft Visual C++ redistributables that may be available? To test out whether your Java is functioning properly or out of date, click this link:
http://www.java.com/en/download/installed.jsp
The error message that you're getting seems kinda odd to me. I've known people that were in chat while being behind a proxy, so I'd have to assume that that's not really an issue, even if you are behind one. By default, Windows Firewall will want to block incoming connections, but allow all outgoing ones. Have you played around with the firewall settings in the past? If so, restoring default firewall settings may help.
To begin troubleshooting, the simplest way seems to be to completely disable your firewall and see if it'll let you in the chatroom. To do that, go into Control Panel-->Windows Firewall. On the left side of that screen, there should be several options. Two of which should be "Restore Defaults" and "Turn Windows firewall on or off". I'd try going back to default settings first. If that happens to fix the problem, it's likely that you accidentally changed something you shouldn't have, somewhere along the lines. If not, try disabling it completely. If that works, it's a matter of allowing the proper firewall exceptions.