We have seen this occur on a Windows Server 2008 PC where a proxy server is used for internet connections. When trying to apply a license, the user enters the lock selector and code and clicks next. The License Wizard shows an error stating "Could not connect to license server" and then returns them to the previous step. It does not allow them to manually import the license from the website.
Open Internet Explorer and choose File\Work Offline. Run the License Wizard by right-clicking on the shortcut and choosing "Run as Administrator". Enter the Lock Selector and Code and choose Next. This should allow you the system to fail but proceed to step 2.
Remember to revert Internet Explorer changes when done!