If you have a firewall active you may be unable to connect to the Wurm game server(s).
The Wurm client connects to port 80 at start-up to download client packs, so make sure outgoing TCP port 80 is open (Wurm does not appear to honour unless you have a proxy settings, at least on Linux)server configured.
While running, Wurm stays in constant communication with the servers on port 48000 (source ports are random).