Phil,
There's a few reasons you can get that message:
* cURL is not enabled on your server. You can check that from the "Basic Info" page of Autotune. You'll need cURL to make outgoing connections to sourcecoast.com (to configure your FB application) and facebook.com (to fetch information about users logging into your site).
* Your server has a firewall enabled that is preventing outgoing connections altogether. You'd need to talk to your host to make sure that the server is able to make cURL requests to sourcecoast.com, and if not, allow them.
Hope that helps get you started in investigating. Autotune isn't required for JFBConnect to function, but it makes the application creation and overall setup much, much easier. Communication with Facebook will definitely be required.
Alex