Like Mazerin said, it's probably your firewall, if not then try this:
Right click on gunzlauncher.exe, go Proprieties (or something like that, soz my windows is in german)
Go to compability (2nd tab)
Uncheck the first box...
Do the same with gunz.exe and try to run...
If not I don't know, sorry mate, but tryed ^^'
