There's a fixed topic in this very subforum named "PS Tech Help Guide"
http://hydlaa.com/smf/index.php?topic=21401.0Amongts other things, it deals with what most commonly is your issue.
Probably you're connecting to the Internet, and have a firewall running.
Configure it so it allows traffic on udp port 7777, otherwise you won't be able to stablish connection with the server.
Server name: Laanx
Hosted by: Fragnetics
URL: laanx.fragnetics.com
Port: UDP 7777
How to configure the firewall depends on each software firewall utility. Normally a hardware firewall would be allowing outgoing traffic, so most probably you've a software firewall enabled.
If what you've enabled is the Windows XP firewall... I guess you could disable it right away, as it will be more a nuisance than a trouble prevention.