Make sure all software and hardware firewalls are configured properly. If either of you are running winXP, disable the built-in XP firewall entirely. It does nothing but cause SE4 grief.
Kerio 2.1.5 is an excellent and far more competent replacement.
Failing that, make sure that both of you have the same version of the game installed, and have no modified data files (or the exact same data files if you wish to use modified files).
TCP/IP isn't exactly the most fool-proof system. The alternatives mentioned by SJ are quite effective.