Hey I also had this exact problem with Rise of Legends, but solved it the following way (for Windows XP and Vista)
Under Add/Remove Programs:
- Add/Remove Windows Components,
- Networking Services -> Details
- Install UPnP Interface
For XP and Vista:
Under Windows Firewall:
- Enable the Firewall
- Under Exceptions, select Add Port
- Name it ROL80, the number is 80 and the type is TCP. Change Scope to Subnet, OK
- Add another port and name it ROL6112, the number is 6112 and the type is UDP. Change Scope to Subnet, OK.
RESTART both computers, then launch the game.
Upon clicking network multiplayer, ROL will say that it is being blocked by a Firewall. Keep clicking continue, and depsite throwing that message 3-5 times, ROL will sort itself out and then you can play multiplayer lan games without it disconnecting!
Hope this helps.