Yeah, I bought this too, and it's been an incredibly frustrating experience.
After I installed and upgraded the software and disabled all firewalls and anti-virus software, I couldn't get past the connectivity check. At first it would just tell me that I need to plug in the remote, hit a button to wake it up (which didn't work). But after a few retries it was somehow able to talk to the remote, if only briefly. It would get up to 20% only to stop because of "Error sending data". And the sessions would constantly time out, so I had to re-login multiple times.
I even called the hotline and they said didn't even know what to do. Apparently my plight has been logged and I should expect a call from them in 3 days to tell me what they think is wrong.
In the end, I've managed to get the remote to work, though I'm now in the process of trying to customizing it, which isn't happening atm.
What I did was instead of using the program that comes with the remote, I opened up Internet Explorer 6, and turned the Security and Privacy setting to Low. Then I went to www.harmonyremote.com and you'll click either New User Login, or Member Login if you've already created an account. I'll try to do the connection check thingy (which should work after numerous retries). If it fails, and give you and option to, just do the Test Drive thing. This way you can configure your remote before you have to do the connection check at the end. If connection check worked, you should get a message to upgrade the remote's firmware to 2.1, which also happens though the website. Once it's upgraded it'll do another connection check.
For me, I'm not sure how I pass this second one. Even though the program would open, it kept giving me a Error Sending Data thing, and the web page would refresh till it got a Web 500 error. When that happened I kept refreshing the page to restart the connection check, but on one time it just jumped to connection success, and allowed me to upload my remote.
One thing to note is that this whole thing for me didn't work on IE7, it kept throwing me a Web 500 error, so I had to do this on my crummy laptop which had IE6.
It's so stupid that you have to configure the device over the internet. What purpose could that serve? are they afraid of people pirating the remote?! Argh! Stupid budget harmony remotes.... Hope this helps.