I recently got my first KeyWiz with the PS2 connector cable. Assuming you are also using PS2, like BobA said, there are no messages that pop up to let you know it connected successfully. I assume the "Connection Failed" messages you've posted are from the KeyWiz uploader software then? Something you might want to check is to make sure the KeyWiz is plugged into the PURPLE port, meaning keyboard. The cable that comes with the KeyWiz is Green, which usually means its for a mouse port, but in this case it's not. So yeah, plug the provided green cable, into the purple keyboard PS2 port. Just something little to make sure you have correct. It's sort of embarassing that I did that myself when I got mine. If that's not the problem in your case, I'm not sure what else I can tell you. Other than also, the KeyWiz Uploader software won't work on Windows Vista or newer (I think). But if you are using Windows XP or earlier, it should work.
Something to check also, is, without using the Keywiz uploader software, try just going to notepad and see if it works there.