The first thing to check is if you're behind any type of firewall.
If you're sure that's not the problem and you're using OFP's DirectPlay MP interface, run the DirectX DXDiag utility on your system and click on the NETWORK tab. Make sure that the entries (especially the TCP/IP related entries) in the left-hand Registered DirectPlay Service Providers list are all marked OK in the list's REGISTRY column.
Make sure you check your OFP multi-player port setting. You'll find this by clicking on MULTIPLAYER on OFP's main menu. On the next screen, look for the word PORT towards the bottom center of the screen. Click on it. If using OFP's DirectPlay MP interface, the default port number is 2234. Change it to 2235 and see if that helps. Of course, once again, if you're behind a firewall, make sure this port is open.
If you've got Windows XP installed on your computer, OFP player Mister Frag says that, besides shutting down Windows XP's Internet Connection Firewall (ICF) or configuring the ports used by OFP, you should also turn off Windows XP's Internet Connection Sharing (ICS) feature. ICS has been causing problems when hosting MP games not just for OPF, but with other DirectPlay-based games as well.
Another important item to check, says Mister Frag, is to make sure that the MTU (Maximum Transfer Unit) size does not cause packets to be fragmented if you are on a PPPoE (Point-to-Point Protocol over Ethernet) connection. See this Microsoft Knowledgebase article, especially if you've enabled ICS under Windows XP. There used to be another Microsoft Knowledgebase article on this subject, and the warning there about packet fragmentation and the resulting problems with some protocols applied to non-ICS connections as well. You can also visit the DSL Reports Tools Page and run their Tweak Test to verify that the MTU size is correct and not causing fragmentation.
Several OFP players, who couldn't host under Windows XP, was finally able to do so by disabling Window's Internet Connection Sharing (ICS) service.
If you're using OFP's DirectPlay MP interface, here's another possibility, uncovered by OFP reg Espectro the evil m00-c0w, while shmoozing with some folks on Microsoft's DirectX development team, who happen to love playing OFP MP:
One thing to look for would be the existence of a copy of file DPLAYX.DLL anywhere other than in it's installed Windows subdirectory. One game publisher once placed a copy of this file in their product's game directory to overcome a launch issue they were having with an earlier version of DirectX. When DirectX 8.1 was installed, the existence of file DPLAYX.DLL in two locations prevented connecting to online games.