During Game Days Sale at GameStop I bought Worms: Open Warfare 2 for $10 mostly because I just wanted to play Worms when I'm bored. I heard that the infrastructured WormNet was permanently shut down. Can anyone confirm this? Also does this mean that AdHoc won't work also or is that still ok to use?

Adhoc works fine but PSP online server was shutdown by THQ.

The DS version still works online.

Yes, but the forum either for DS/PSP seems to be pretty much dead. The DS version is still played on-line a lot and it even exists a chat (http://xat.com/for_all_Worms_Players) originally created by Wormetti ;)