The game does not freeze, but what you are experiencing is most likely your software firewall kicking in, asking for your permission to allow the game server and client access to the internet.
Unfortunately, due to how some versions of Windows, DirectX and software firewalls tend to interact, it sometimes results in the software firewall becoming active, but without allowing Windows to actually paint the authorisation dialog box.
Try <ctrl><esc> or <alt><tab> combinations to switch to the desktop. If that does not work, move the mouse around until it changes to the regular arrow that is used on your Windows desktop. There where the standard mouse arrow appears, the autorisation dialog box is supposed to be placed. When you found it, you (alas, but that can't be helped) blindly have to find the <ok> button and click the mouse button to authorise the game.
If you have success with this, the game will proceed.
A second approach (but that depends on what software firewall you are using), is to authorise the main program file (hoi2.exe) with your firewall before you start the game allthogether. Give it both regular and server internet access.