I just started playing UT99 for the first time and I wanted to join a server. I did not know how it worked until I realized that I have to press the esc key to join a match after it's connected. Unfortunately, Pressing Esc key just brings me back to the menu and won't let me connect to the game. I am having so much trouble figuring out what to do. Do I have to go looking for some files or something? I really want to play this please help.

Maybe the server you want play on requires other mods or maps to be installed. You should check the control settings, maybe there is a hotkey for joining, so you doesn't have to use the escape.

The servers you're trying to connect to may be running the unofficial 451b patch. You can get it here.

No no no the 451b is a server only patch it should not be used on the client because it has various issues such as breaking UnrealEd.

Typically when joining a server it will try to download everything you don't have (which can be a lot because most servers have plenty of custom maps, mods and mutators) but if it takes too long it can timeout and kick you back to the menu. Basically you have to keep trying until you have downloaded everything. Or try a different server.