You have probably registered a so-called "NAT error". If you go to the Tools menu and click on the NAT/Firewall test (or is it configuration ?) option. This will bring up an interface with which to test your connections. To be honest, after having gone through all the rigamarole you describe, I still have not been able to get Azureus to work, so it could be my ISP blocking the BitTorrent port(s), but I don't know for sure.
Sorry