Hi,
The directplay will run a few time before you can connect.
Make sure you turn off all firewalls when changing your port settings.
Run the multi-play and it will time out approx 2 to 5 times before connection is achieved.
The message will state something like "can not connect to internal ip address, connecting to external ip address" after a few runs it will connect.
If it still wont connect make sure the correct ports are open, again with firewall off.
Oh dont forget to turn the firewall back on.
Hope that helps.
Worfy