Make use you have the v1.11 patch installed. If it's trying to connect to the outside world. It could be the old dialer problem.
Check out:
http://mohaa.ea.com/MOHAA_FAQ.html
(Top of Page)
If this is a new install of the game. Try reinstalling the game. Use Bazooka_Joe's Guide to uninstall the game
http://mohaa.xgshosting.com/joe/installguide.htm
Then reinstall it, along with the V1.11 patch.
Please let us know what happens.
Good luck