Same thing happened to me for a while, but this was due to not allowing HOI2 to connect to the server through the Windows service pack 2 firewall program.
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You may have to make HOI2 allowed to go through to the firewall. What happened to me is that when I would click on multiplayer, it would freeze. There'd be a firewall prompt asking if I wanted to allow this program to access the internet, but I could not ALT + TAB or ALT + ESC to minimize the HOI2 screen to click the "yes" button when the firewall asked if I wanted HOI gain access to the internet/server.
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I had to click on multiplayer and hit ALT + ESC a split second later to see the screen to see the prompt. There may be an easier way, but that worked for me...