Today (6/7/2010) the Windows Azure platform AppFabric has updated the IP Ranges on which the AppFabric nodes are hosted.  If your firewall restricts outbound traffic, you will need to perform the additional step of opening your outbound TCP Ports and IP Addresses for these nodes. Please see the 1/28/2010Additional Data Centers for Windows Azure platform AppFabric posted which was updated today to include the new set of IP Addresses.

Windows Azure platform AppFabric Team