For some of you who may have issues with ports and port forwading and or router / firewall issues, here is a great site for helping set up your machine:
http://portforward.com/
It has almost every make of router covered and has some very useful apps, in some cases it can even auto configure what you need.
Cheers
Sulla
EDIT Andrew Williams
You also must make sure your Firewall is allowing CoI to access the internet
CoI Ports
2300 to 2400 udp/TCP
6073 TCP
47624 TCP
