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That usually happens either when someone has a firewall blocking the game, or someone's ports are closed. Port Forwarding ('opening' your ports) depends heavily on your router, but you can find useful guides for port forwarding most (if not all) routers at portforward.com/

Firewalls will usually pop up with a warning when the game starts asking if you want to let it connect to the net. If it doesn't, you'll have to manually add it to the 'allowed' list.

I'll try to add some ways to bypass the port problem, since port forwarding is a bit of a hassle, but I don't know how long that'll take.