1) You need to be patched to version 1.12 (via Impulse)
2) You need to have the ports listed in your user.setting file open (mine is found at C:\Users\XXX\AppData\Local\Ironclad Games\Sins of a Solar Empire\Setting - this is for Vista. XP is slightly different). These are my ones
GameHostPort 6112
GameBroadcastPort 6000
IcoServerPort 7000