We are aware of Windows users who experience connection issue when they setup Finger in their PC.  We suggest the following resolution:

1. Check whether your iPhone has turn ON WiFi. And also make sure your PC and iPhone are under the SAME network. ( If you are connecting this from your home, and iPhone and PC are using the same router and with the same IP address starting with like ( 192.168.1.x ) , then most likely you are in the SAME network ) 
2. If you using Firewall ( like Windows XP built-in or other firewall program like Mcafee or Norton ) Please grant the network access to a program call Bonjour  Bonjour is a program provided by Apple and installed together with Apple's iTune and also bundled in  Finger desktop program. Bonjour is required for making network connection from iPhone. So this is required as well. 
3. After verified the above setting. Please try to pair up again. ( Launch the Finger Desktop on your PC and Finger application on your iPhone. And in your iPhone's Finger , go to setting, and "Add connection", and see whether your Finger desktop in PC prompt you for the password or not ) 
4. In case the pair up still failed ( without showing the password window ) . As a troubleshooting, I would recommend you temporary disable your firewall first and follow step 3 again and see whether it works.