Outgoing connections can be affected by the presence of firewall or anti-virus software on the local computer or network connection. Either one may be blocking the ports needed to make a successful FTP connection to the remote server.
If you are using a personal firewall software package please configure it so that ports 20 and 21 are open. It may also be necessary to grant specific permission for CuteFTP to access those ports. If you need help configuring your personal firewall software please consult the documentation or the support section of their Web site.
Symantec (Norton) support site:
McAfee support site:
Microsoft has complete instructions on how to disable the Internet Connection Firewall built into some versions of Windows XP.