Have you checked the FAQ in my sig? It has some suggestions. We need to know which client you are using. If it is Titanium, you need to use port 5998. All other clients use port 5999.
Also, if you are playing from a network that you don't own (such as a work or school network), they may be blocking the ports required to play, which would cause this same issue and there is no easy way around that.
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