HTTP Error 12029

I downloaded the 30 day trial of ColdFusion and Dreamweaver on this computer.
I loaded my CF apps into the directory. However, when I get to the step to
"Set Up The Sites Testing Server" (Step 3), I'm getting an error message that
reads HTTP Error 12029. I researched it and It has some generic meaning of
ERROR_INTERNET_CANNOT_CONNECT. I have internet connection both on the
corporate intranet and the WWW. What do I do?