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When we attempted to use Valky internet, the reason I wasn't able to join at all is due to me stupidly turning on XP firewall, which would obviously block me from joining. That was pretty stupid but I was following a manual from Microsoft.

Anyway, I've opened the over 100 ports I needed to open, one by one which I think may have been the reason for it not working. The port which allowed me to join was enabled, but the rest weren't which stopped me. I had typed in a range of ports into ZoneAlarm last time rather that one by one. I've reinstalled patches so hopefully it should work now. If it doesn't I may break down and sit here shaking.
 
You need the following ports open.
2300-2400,47624,28800,6073
UDP TCP both

Those should cover any Direct play game.

Make sure you both have the ports open.