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I'm having problems connecting to Servers/Clients with Active firewalls. I have documented that the most common problem is worng port allocation for the game. How Do you solve this with EU2?
Generally speaking, I'd recommend turning your firewall off for EU2. The game is unstable enough as it is, the firewall just makes it worse (trapping rapid packets, etc).
If you don't control your own firewall (playing at work or school), I think you're going to be out of luck.
Eu1 multiplayer simply doesnt run with my firewall on... As said, even without a firewall its still a bit unstable. I usually switch off everything: icq, norton, ...