If you do not have a proxy server then it definitely sounds like a Firewall is stopping communication between DownloadStudio and the internet. Please double check if zone alarm could be causing this and also check if there is any other software on your computer which could be blocking access to the internet.

To see if communication between DownloadStudio is working at all, go to the Add Job dialog, and enter a valid url such as http://www.google.com/ and then try the Check URL... function under the 'Commands' button.

If the Check URL comes back with a size and mime type then communication is working between DownloadStudio and the internet, otherwise DownloadStudio is being blocked from accessing the internet.