Which version of Crystal are you using? Do you have any of the other Client Tools installed? If so, can you connect through any of them?
Are you connecting to a cluster or to a specific computer which has a CMS? If it's a cluster, you need to connect to a specific computer first in order to for the list of applicable servers to be written to your registry so that your workstation knows about the cluster.
Is your computer on the same network as the CMS? If not, is there a firewall between the two? If there's a firewall, is your 4.0 system configured to use "specified ports" instead of the default 6400 port and are those specified ports open in the firewall?
-Dell