You have security software blocking Salem on your computer or a firewall is blocking it somewhere. What version of Java are you running? The latest release will just block it from running, but older versions may block you from connecting to the server with certain security settings.
For the security software: check your antivirus and firewalls to make sure that settings won't prevent unsigned Java apps from running.
for the firewall and router: check to make sure ports TCP 1871 and UDP 1870 aren't blocked (make sure your ports are open unless explicitly closed OR make ports explicitly closed and open these two ports for Salem/Java use).
The server could be down, see this thread:
viewtopic.php?f=3&t=58 OR check the Server Status page (button between the Forum and Account buttons).
I might be forgetting something to check here. It's been a while since someone's asked this.