The most likely cause for this behavior is an invalid Connection Name. As an example, a name cannot have any spaces in it. If your name does have a space, replace it with an underscore '_' or hyphen.
You may then also need to verify that the URL is correct in the gatekeeper-core-config.xml file in the "\tomcat\6.0\alfssogatekeeper\conf" directory, as for non-SSL installations an invalid space is added after the port number as here :
