The first thing you must check is what is reported next to the server name.
1) You must select \"laanx\", not \"localhost\".
2) It must say a number next to \"laanx\", usually around 500. If it says \"Fail\", the server cannot be reached even for a ping
Now assuming both are OK, and you still get \"waiting for data\" for longer than a minute or two, it is to be assumed that there is something blocking the actual data traffic from you to the server / from the server to you.
The server uses UDP (not TCP!) port 7354 to communicate with your client. Therefore, this port must not be blocked by any device between your program and the server. Most likely, there is a (or many) firewalls that filter, and they may block it. Enable that port for incoming and outgoing / forwarding in any firewalls you find.