What did you enter for the URL Prefix?
What happens if you enter the URL prefix in a web browser?
When you create a connections, it tries to create _mmServerScripts/MMHTTPDB.php in the host directory, then browse to it. So if you enter the URL prefix:
www.mysite.com/
it will try to browse to:
MMHTTPDB.php
my guess is that either the URL prefix is not correct, or the host directory is not set properly.