I've been working on a session that includes a ClickOnce activity. The unusual aspect of it is that I create the ClickOnce package on the same machine that I then host it, then finally install it from. Not all that strange for dev/testing, though certainly not a typical scenario!
As it turns out, the deployment URL is very picky. I had been using my machine name, and then trying localhost, but no matter what, I was getting an error about the target machine actively refusing my connection.
Well, the web site hosting the package was being run within Visual Studio, and using the built-in (Cassini) web server. Even though I could access the .application file just fine in Internet Explorer, sure enough, when I tried to connect a socket using telnet, it was rejected.
After much playing around, I finally discovered that you need to specify the loopback IP, 127.0.0.1, for the host address. That's the only way (that I found) to make it work. Now, granted, you may not run into this often, but if you decide to give ClickOnce a try and you're testing on your local machine it may save you some torn-out hair!