By default, the mode is “deny selected” and all apps are “unchecked” = light grey. When you select an app, thus making the button dark grey, its internet access is then denied. Be sure to select both Wifi and 3G buttons.
If the mode is “allow selected”, then you have to specifically select an app (making its button dark grey) to allow its access to the internet. Unselected apps will have their access denied.

When an app has its internet access denied, it can cause a lot of things - most likely some kind of “connection refused” errors.

If this doesn’t work, then there’s something wrong and we’d need some more information about your device and system. We can talk about that later.