First, make sure you have downloaded the 1.01 patch (
http://www.lucasfiles.com/?s=&action=file&id=235).  
 If you have already done that or if it still doesn't work, you probably have a firewall\router problem. It is blocking the server information from reaching your computer. 
 Turn off software firewalls like Zone Alarm, Norton, etc. 
 If you are behind a router, open ports 29060-29062 and 29070-29081