Keyservers use the Horowitz Keyserver Protocol (HKP) to exchange keys through TCP port 11371. If you are behind a firewall, you must ensure that this port is open for outgoing connections.
Alternatively, many keyservers allow access to clients also on HTTP (TCP port 80), which is normally open.
If you are using HTTP proxy behind a firewall, you must add the following line to your gnupg.conf file:
keyserver-options http-proxy=proxy_host_name