On the game startup menu you should see a couple options, the top three should be:  Single Player, Multiplayer, and Ironclad Online.  Are you seeing those?  What are you clicking on?

Clicking on the mis-named <Multiplayer> button (which should read "LAN games") brings up the LAN games connection screen/menu.

Clicking on <Ironclad Online> (which should read "Online Multiplayer") is what you want for online multiplayer.  You will need to register your copy of Sins with ICO, create a user account, and then <Add Player> to create a player name and then <Use Player> to join the ICO chat Lobby.  You can then click <Join Games> to see what games are available.  (Most people are playing Entrenchment which is where you'll find the bigger games.)

Did that help?