Sorry for the late reply,
I can navigate to the SharePoint site fine and when I am using the web connector to authenticate it gives me the Authentication Code. Only when I try to save the Authentication Code it gets the error.
There is a proxy we are using to connect from the server to the internet and we have had to add some exceptions in order to get it to this point. I have also enabled the proxy for the web connectors, thought that may have been the issue to start with.
It is almost as if the web connector itself is struggling to use the proxy server in order to communicate.
Thanks for your help,