Hi there,
Thanks for the reply.  With regards to Proxy parameters.   Did you mean make changes on the SME server or in Internet Explorer?
I found that if I changed my outgoing firewall to a Gnatbox, I don't have a problem connecting so I'm pretty sure it's the SME server doing the blocking.
BTY, I've tested with a Gnatbox (Connected!), SME v. 5.5 (Didn't connect), and SME 6.01.01 (Didn't connect.) 
Ralph