If I have this problem, I would check that the port for my underlying data source can be reachable. I could use telnet to confirm it. I could issue below command in the Command Prompt.
`telnet <hostname of data source><port>`
I could check by providing the host name of the data source and corresponding port number like 3306 which is a port number of MySQL database.
If I want to have information about the error, I could check in the vdp.log file in <DENODO_HOME>/logs/vdp.
Hope this helps!