[dafier]

Assuming you have Windows 7 or 10. Open resource monitor, click the Network tab, expand Network Activity and TCP connections.

Should be in Network activity, the exe should be listed and should show the address in which it's attempting to connect.

If you do not see any attempts to connect or it's greyed out (inactive) and never activates the connection again, you probably have something blocking you. Firewall either in the OS or on your router.

If you see activity but you are still getting the message, then the issue is more than likely outside of your local network. You can also hand jam the address it's attempting to connect to and either (from a command prompt) ping or tracert to it and see what the results are.

Hope this helps.