You have someone else with that same problem. They posted back in 12/2007:
Error 10060. I'd suggest PMing that person and seeing what they did to resolve it.
(I'm assuming it's resolved because they didn't continue to post about it.)
Other than that, I'd go through the server set-up guide again and see if you missed anything (or forgot to do something). The smallest mistakes can be the killers.
What's happening though is that you're not calling out to the internet, you're calling to 'localhost' which is 127.0.0.1. If it were working correctly, it would display a completely different IP. So, my best guess is check the config file in your EQEmu folder and see if something's screwy there. If it matches the file in the set-up guide (minus the changes) then /shrug.
Dig around in the forums and see if someone else has similar problems... I just did a quick "Error 10060" search and got your post and the other person's. Check out server startup issues, etc.