Hmm, maybe its some issue with the Directplay or winsock library on your PC, that would explain why ANET doesnt work either. I've done some tests with multiplayer some time ago and found that the internal network library and ANET are both pretty reliable.

Maybe you can post the acklog.txt that you get after starting with -diag, this could tell something about whats wrong with the communication and why ANET exits immediately.