Finally got it working. Some of the directions on what to do here aren't very good but the answer is right!
Open internet explorer. Must be internet explorer not firefox not mozilla not what ever else you use!
then click on the connections tab
then at the bottom of that window click LAN SETTINGS
Make sure proxy setting is unchecked on this screen.
It is true many Anti Virus software can interfere. Make sure it is all off. I also made sure I had all my port forwarding set up for itunes.