I just downloaded the client today and was having the same issue.
Was required to update java and then was told my security settings were too high.
I added the two exceptions mentioned earlier in the thread but they didn't work.
The http://game.salemthegame.com exception works.
You get this before the client opens.
Confirming that http://game.salemthegame.com works with windows 10 and the newest(as of 9/17/16)java.