I was having this problem, I fixed it by making the game executable run as an administrator in privilege level. Here's how to do it:
Find the file WalkingDead101.exe either by searching for it or going to your steam folder (usually Program Files->Steam), then going to steamapps->common->the walking dead. Once the file has been found, right click and choose properties then select the compatibility tab. At the bottom under privilege level check the box that says 'Run this program as an administrator'.
This is what I did and the next time I tried to run the game it connected in seconds.
Currently reading... Shadowfires by Dean Koontz
"Time is an illusion. Lunchtime doubly so."