PBW really is the best way to do multiplayer... TCP/IP is very fickle. It will work if noone is behind a router, or if you use hackery like Hamachi to create a virtual LAN to fool SE5. For whatever reason, the game's TCP/IP code has trouble with ports forwarded through routers.
Here's a set of TCP/IP instructions that was posted at spaceempires5.com . (Ignore the section header; the OP accidentally put it in the forums for SE IV rather than for SE V.)
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Cap'n Q
"Good morning, Pooh Bear," said Eeyore gloomily. "If it is a good morning," he said. "Which I doubt," said he.