I have made a little more progress I've discovered that it's one particular XP machine that is having problems connecting.
I have installed the client on other windows based computers in my office and they connect fine. My computer on the other hand is intermitent. Sometimes it works sometimes it doesn't, and it never does 2 times in a row. Once I connect successfully it usually take me another 3-4 failed attempts then during some magical process I can terminate an existing session and click on the 'New' button and it will connect.
I don't have the windows firewall running, just plain weird?!?