Starting a game requires you to do some network trickery if you are behind a NAT / Firewall (like most people on high-speed, nowadays). First, Sins runs on the X11 protocol using ports 6000 and 6001. Make sure you have outbound TCP port 6000 allowed through your firewall to connect to Iron Clad Online (ICO). Once connected, if you want to host a game, you have to have port 6001 forwarded from your NAT box to your computer, and allowed through your computer's firewall. On Windows, allowing it through the Windows firewall usually just requires clicking the button on the pop-up window saying to accept letting the game run as a server. On your NAT box, it could be more tricky. If you run behind a Linux NAT, like I do, you can do this as root on the command line:
iptables -t nat -I PREROUTING -p tcp --dport 6001 -j DNAT --to-destination
If you run a Linksys, look at your port forwarding or DMZ settings. If you can't figure out how to make the change, look in the support documentation for your DSL / Cable modem / router / switch (or combo thereof). If all else fails, call technical support for the manufacturer of your device. Tell them you need to forward TCP port 6001 to your desktop to play a game. They should be able to walk you through it.
If you want to just join a game that is hosted by someone else, you do not need to perform the port forwarding.
Hope this saves someone some trouble. I had to run some Ethereal captures and netstats to figure out what was going on.
In short, if you receive a message about being disconnected from the game, either your firewall / NAT settings are messed up, or (most likely) the person hosting the game has theirs screwed up.