Something on your end is blocking Horizon from connecting to your Internet. Do you have any anti-malware or anti-virus software installed? If you do you need to set up an exception for Horizon in those too.
If you already did the above, try disabling your internet and running Horizon to see whether that works. If you are able to get it to run after disabling your internet, try again.
Also just to make sure, you have .NET framework 3.5 and the Microsoft C++ Redistribution 2010/12/15 packs installed correct?
Your last resort would be to follow these steps - Error message upon trying to open