Tried that app and could never connect. Completely frustrating.
I'm the author, and am happy to help you get it working. There's a diagnostics feature that's accessible from the "main screen' of the app. Just press the menu key, then "diagnostics". Once the diagnostics have run, there's a "send support email" option at the bottom of the screen that will e-mail the info such that I can see it.
The most common problem is probably that the phone isn't "really" signed on to the wireless network. Phone will indicate wifi active and strong signal, but in fact won't actually be able to even ping other hosts on the network. Turning wifi on/off and/or rebooting the router tends to cure this.
Other common issues are people signed on to the wrong network, IE users who don't enter the "http://" in front of the address, and people who have (typically unknowingly) reconfigured their wifi equipment (e.g. NAT settings) such that devices on their own network cannot talk to one another.
If none of the above are applicable and the diagnostics output looks fine, try "pinging" the phone from the computer. To do this, open a Command Prompt (Windows) or Terminal (Mac OS X/Linux) and enter:
(replacing "192.16.1.9" with whatever WebSharing says the phone's IP address is) and see if you're able to get a response.
And my apologies if you're an advanced user and have already tried all this...if that's the case I would really like to hear from you and try and get this solved.