Firewall "seems" like everything is o.k. It doesn't seem to download anything. The only thing that looks like it's connected is that it shows the IP address of my library at the top and in the taskbar. Does the library download using the same port as the library server?
(edit)
I went ahead and added authentication username and password, and I am not getting the prompt on the client, so maybe I'm not really connected? I would think it would come back with an error or something.