If you are using an https: url, my guess is that your SSL certificate has something to do with this. Unlike a browser, applications like Order Export do not have a way of prompting you for input if there is something odd about the certificate. Have you ever visited a site with an https: url and your browser popped up a window that said something like "The certificate looks valid but the name does not match", or "The certificate is signed by a trusted authority but the date has expired". And then you had to decide whether to let the browser continue. It is the browser that is doing all that hand holding. When an application like Order Export gets a response from the site about the certificate, it usually just punts and closes the connection.

Long story. The short answer is if you are using an https: url try http: instead and also check to make sure the certificate is still OK.