Sandra says it cannot connect to server/service

Sandra is client/server thus running as such even on a single computer (client-the GUI, server-the agent). The GUI (client) thus needs to connect to the service (Sandra herself).

But you do NOT need to make any firewall changes, it does NOT connect to the outside of your computer (unless you enabled Network Services)

2. Go into

\Program Files\SiSoftware\Sandra\WNt500x86 - if 32-bit
\Program Files\SiSoftware\Sandra\WNt500x64 - if 64-bit

and run

RpcSandraSrv.exe

Leave it running and now start Sandra. If it does not work now, open a ticket.