If the problem persists after checking for issues with a firewall or Internet Explorer connection settings, please gather logs and submit a bug report:
How to Submit Bugs and Live Mesh Logs
Note that you probably won't get a response to the bug report, though. It will be transferred to the internal system to be assigned to the appropriate development group.
And consider reinstalling to see if that resolves the problem.
-steve
Microsoft MVP Windows Live / Windows Live OneCare, Live Mesh, & MS Security Essentials Forums Moderator