I have problem with logging into wormNET - when I'm going into lobby screen, appears the "please wait, working" window, it disappears, and all I can do then is clicking the "exit" button, no matter how much time I wait.

I have found the thread with the same problem, but it looks solved for the original poster.

http://forum.team17.co.uk/showthread.php?p=658285#post658285

Which game is this; there are at least two worms games that from your description it could be.

Sorry, I have this problem with Worms: Armageddon.

Reading through this [very short] thread could help you solve this: http://forum.team17.co.uk/showthread.php?t=36840

Huh, I have read this thread... nothing works: setting W:A as a firewall exception, or even turning firewall off...