Hi Yuri,
If you don't have your SD card inserted, you won't be running the Windows for Devices OS, but Linux from the onboard flash. It's possible that you can telnet to that, but it won't work with Visual Studio and the Galileo Watcher.
In regards to firewall and antivirus on your dev computer, I would recommend that you disconnect it from the internet and disable all of those and see if you can get the connection going using the Galileo Watcher and a direct network connection between your computer and the Galileo board running the Windows for Devices image.
If that work, you can start enabling stuff again to see where it fails. If it still doesn't work, you should check and maybe recreate the SD card and make sure it's inserted and working correctly.
All you need is an ethernet cable between the computer and the Galileo board, and then power to the Galileo and it should then be booting (takes a couple of minutes).
If you got the Galileo board from Microsoft, the firmware on the board should be correct, but if you got the board elsewhere, you might need to upgrade the firmware as explained on Setup your Intel Galileo (remember to do all steps exactly as they write, I missed one regarding Win 7 and it didn't work ;-))
I hope you get it up and running!
/Thomas