Hi,
I've seen this asked a lot lately, so I've added some info to the FAQ page -- let me know if you need more info:
What is the error "Unable to connect to all players"?
This error is displayed by FS2004 when trying to connect to a session. Usually it happens when someone else that's already in the session is using a router and hasn't forwarded the correct ports. When your FS2004 tries to join, it gets a list of all the players currently in the session and tries to connect to them. But when it tries to connect to the player with the bad router, it isn't able to communicate with it, so FS2004 aborts the connection (note that FS2002 would happily connect anyway and just not show that player, but FS2004 now uses newer DirectX functions that return an error in this case, so FS2004 actually isn't able to connect this way anymore). Unfortunately there's not an easy way of figuring out which player is causing the problem, but if you ask everyone if they're using a router, and one of them says they are, and doesn't know about port forwarding, it's a good chance it's him :-)
The person using the router needs to configure it so that certain ports are forwarded to the machine running FS2004. Typically the port is UDP 23456, but you should ask the person hosting the session if they're using the default hosting ports, or something different. If things still aren't working, try also forwarding UDP 6073 and the range of UDP 2300 to 2400, since these are the DirectX "alternate" ports, which are sometimes used when the host is using something other than 23456. Sometimes enabling or disabling UPnP (Universal Plug-n-Play) can help also -- I've received reports from users saying both ways have helped, although I'm not sure why.
See the section "Firewalls, Routers, Ports, and Internet Connection Sharing" on the Help page for more info.
Russell
