I know the exact same thing happens to me! I tried reading Monk's stuff about firewalls but multiplayer has never messed up on games before and plus it's just a little hard to understand. I also tried "contacting customer service", but they were of no help because I have absolutely no idea how to contact them (no tab on the website, tried searching with multiple different terms on Google, also nothing on the box or manual). Please help, this is one of the main reasons I bought the freaking thing.
EDIT: I looked back in the archives and this has been brought up before. The only useful reply was to check firewall; I tried turning off Windows firewall but that made no difference. I noticed that at the top of the error box it says "Network Error", is that of any significance?