if you have a proxy put in your proxy info in the cddb proxy form.
this is required, this has nothing to do with Media Jukebox this is a CDDB thing and is the way CDDB programed it, and is required to get it to work for users with a proxy.
if you do not have a proxy, and you unchecked it, but you still have proxy info in the input boxes you may need to clear it then uncheck the box. if this is true and it starts working. i would say that would be a bug.
if you have a router at home that could be blocking it from cddb.
if you have another firewall, uninstall it and see if it works. there have been times where a firewall will block cddb when it should not. this is also true with Microsofts Windows XP firewall.