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Hello and welcome to the forum. First question: Which game version do you play? There are HoI2, Doomsday and Armageddon, each of them with possible versions ranging from 1.0 to 1.3+ (so we need to know exactly what game you have to track down the problem here).
This sounds as if your firewall was blocking it, so the game is waiting for a response from the server but the windows firewall doesn't let it pass.
Does ALT+Tab work? If so, do it and there should be a windows bubble informing you of an application trying to send data to the net. Click allow and it should work again... You could also access the firewall menu in Windows and add HoI2 to the "allowed applications" list.