with Azureus it will give you a tracker status message, this usually gives a big hint to the problem, are you getting a message?
Also, do you have a fire wall installed? if so you will need to allow azureus (and java) total freedom thru it. The azureus home page gives "how to" information on alot of stuff. also make sure you downloaded azureus from the hope page and not anywhere else because they stick in spy ware and mal ware and all other kinds of crap. (the azureus home is
http://azureus.sourceforge.net/ )