If you have a firewall active you may be unable to connect to the Wurm game servers.
The Wurm client connects to port 80 at start-up to download client packs, so make sure outgoing TCP port 80 is open unless you have a proxy server configured.
While running, Wurm stays in constant communication with the servers on port 3724 (Freedom) and 3723 (Epic) (source ports are random).
TCP outbound port 80
TCP outbound port 3725 (Pristine)
TCP outbound port 3724 (Freedom)
TCP outbound port 3723 (Epic)