Okay so this is kind of not an error, but it said it had a problem opening the game blah blah blah, it said I either had my firewall turned on, which it is not, or they're running a server check, are they running a server check?
If you are using Vista, then most likely you'd need to run the program as an admin. Right click on the program, and start program as administrator. Otherwise either your firewall is blocking the connection with the server (can be PeerGuardian or any other program that inteferes with connection) or the server is down for maintainence.
Server checks are announced at www.nexon.net so if they don't say anything then it's not a server check :/
Doublecheck other programs that might restrict your access. One time, I spent half an hour trying to figure out why my game couldn't connect, but realized that Threatfire was restricting access -_-