It's an update to your Windows that you need to have installed for EQ2Map to work.
Here's a
link to the section in the EQ2Map FAQ that covers it. It's basically just a matter of going to the Windows Update site and tick the .NET download and the computer will do the rest.
Edit:
I just saw that the very next item on the FAQ (right underneath the .NET info) covers your problem hehe. Looks like a firewall setting issue.