The way dreamweaver tests a connection is this:
1) It uses the testing server settings to transfer files to the _mmServerScripts folder
2) It uses the url specified in the testing server to post data and access the files it uploaded which return xml with the results
The error you are getting means that it can't access the files once uploaded. Can you see the _mmServerScripts folder in the file system and confirm they were uploaded properly onto the testing server?
If you manually browse to one of those files using the url and appending the folder and one of the file names can it be accessed? For some reason Dreamweaver is unable to browse to that file. Is it possible it has a firewall that is blocking dreamweaver's browser?