1: Are you using a software firewall? If so, have you allowed access to the game?
2: Do you have anti-virus software? If so, who makes it? Is it up to date? Is it blocking access to our game?
Yes, Microsoft Security Essentials. It's not blocking the game as far as I can tell, but I also tried adding the Walking Dead Steam folder to exceptions, to no avail.
3: Does the game work if you run it while disconnected from the Internet?