I've had problems with this when I've somehow added a proxy address in IE. Some programs (I think MSN Messenger for example) use whatever connection settings are listed in IE. Therefore it could affect the other programs.
To check the proxy, go to Tools > Internet Options. Click to the Connections tab and then select the LAN settings button near the bottom. On my computer all the checkboxes are unticked and a few of the boxes are greyed out. I'm not necessarily saying that it should all be empty, but its worth noting whatevers selected at the moment, trying it, and then if it still doesnt work put it back to how it was.
Hope that helps,
Bahh
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