To solve this problem disable your firewall or in it's rules permit frontend.exe to access internet, but ensure u done this for both, inbound and inbound traffic.
In this case you don't have to disable your firewall.
If you don't know how to do that, read firewall's manual or ask someone more experienced.

If you having router configure it to allow Worms 2.
I don't have any experience with routers.

Note: Microsoft DirectPlay MUST be enabled in firewall.