Move Database on the old and new Servers will try to create firewall rules to allow communication between the two computers. This is not always successful so you may need to manually allow these applications through any firewalls you have installed. This is particularly true for any 3rd party security software (eg. anti-virus software) that is installed.
Sometimes firewalls will allow the two applications to connect but not allow any file transfers. If your transfer times out then this is caused by a firewall and will need manual configuration.