First of al, you need to have a Cat5 cable to your router or modem. Once you have this set up, it does depend on whether you have a broadband always on, broadband dial or basic dial up connection.
If always on then the game itself, if playable online should have a wizard to do the set up for you.
If either of the other two options then you should check that you are connected to the internet first then go through the game wizard.
I have played Star Wars Battlefront 2 over the net and it is awesome.
Let me know if this helps.