One of the hard parts of setting up Finch now is entering he right Url in the Service Url textbox in the Options dialog. I will make sure that the 1.0 release will be more helpful.
The way is to it goes like this:
Your blogs url looks something like this (provided that it is a .Text blog):
http://servername/weblogs/YourName
The web services used by Finch are located in a folder called services just below your blog. An example of a webservice Url would be:
http://servername/weblogs/YourName/services/simpleblogservice.asmx
You can test this on your own blog by entering this in a webbrowser. The screen should show a description of the webservice.
Now enter this url in the textbox labelled 'Service URL',
but without the simpleblogservice.asmx part. So the url should end with /services/
If you still have issues connecting, let me know.