You need to disable Firewall from the Warcraft III game.
If you don't know how to get on Firewall, go to the Start menu and search for Firewall, it should be there.
I think when you join other's, the host probably doesn't want start the game yet, or they don't know how to start it, lol
Can you add me as a friend please. My account is Red_Soul
/w me and i'll add you too. If you're still confused, I'll talk to you on Warcraft III Frozen Throne.