Hey Dave -
Not a support guy, but Tableau Desktop relies on some infrastructure built into Internet Explorer (WinInet, I believe). To connect to Tableau Server. So, the first thing I'd try is see if you can successfully connect to Tableau Server via IE (what version is it? At least 8?).
If you can't, then once you solve the problem in IE, you should be good to go in Desktop, too.
Possible things to look at:
- Are you using SSL?
- Is the site that you are connecting to trusted by IE?
Good luck, and don't spend too much time on this before opening up a case with support - this is a garden-variety error, so they should be able to knock it out pretty quickly for you