In some cases, your firewall may prevent the Steam Link from connecting to your host PC.
If setting permissions for Steam fails, do the following to disable your firewall temporarily (on Windows).

1. On your host PC, press the Windows key on your keyboard
2. Type: firewall
3. Select Windows Firewall from the list
4. Click on Turn Windows Firewall on or off
5. Check Turn off Windows Firewall (not recommended) and click OK

Do the following to re-enable Windows Firewall and create an exception for Steam in your firewall settings.

1. From the Windows Firewall window, click Allow a program or feature through Windows Firewall
2. Click the Change Settings button
3. Check all boxes for Steam
4. Click OK

ZoneAlarm is known to cause issues for some users.