The master server is currently down, see
this thread for further information. Should be back up sometime this week.
Until then, you'll have to connect to servers manually. To do that you'll need the IP address for the server you want to play in. Once you have it, head into the server list within UT2004 and click on the Favorites or LAN button. Then right-click in the main part of the screen to bring up a couple options. Click on Open IP and enter the address you want, or just paste it in. Click OK and you're set.
I just tried the GOG server and connected without any problems, but nobody was around to play. You can find the server info in the
sticky thread.