I have literally seen so many help threads for this EMU its getting annoying in my alerts. Make sure you have it setup correctly.
Including:
Ports are opened DOUBLE CHECK.
SWFs are correctly linked DOUBLE CHECK.
IP is put in the cms configuration and in the client (unless you have a proxy then your proxy IP goes in client NOT in cms)
Make sure your IP is in your emulator configuration NOT your proxy.
If all of those are setup correctly get a damn new emu