If you have a firewall you need to allow access on the port you are hosting from. If you have a router just use the search option at the top there are a few topics that go into detail on how to manually configure your router for port fwding so you can host.

Also on another note this is in the wrong area you should have posted this in the normal byond forums area.

Also as another note if you are using 4.0 only 4.0 clients will be allowed to connect 3.5 can not connect to 4.0 it would seem.