I'm running UT2004 on Win7 64-bit. Single player seems to work just fine; however, when I try to join a game, UT2004 complains that the Windows Firewall is active and then kicks me back to the main menu. Problem is, I have added an exception for UT2004.
I've tried running in compatibility mode for XP and VIsta, but whenever I have compat mode on, the game seems to hang during the splash screen and never actually load.
Has anyone else got this working?

I would go into your firewall settings and make sure don't allow exceptions isn't ticked also make sure that its ut2004.exe that has the exception made for it and the path is pointed to the correct folder. The first thing won't really apply if you have ever played any other games online though.
If its neither of these things then I'm not really sure why its not working, I'm fairly sure there are other people playing online with windows 7, if they used the windows firewall I couldn't say. I'm on XP myself and have no problems with the windows firewall and this game.

If you think its your router now all you need to do is find what ports need forwarding for UT and you should be set to go.

For those still having this problem: I found a solution online at http://www.digitalenginesoftware.com/blog/archives/68-Problems-with-UT2004-and-Windows-Firewall.html

In essence, you should add the following code to your ut2004.ini file.
[FireWall]
IgnoreSP2=1
For more information, like the location of the ut2004.in file, see the above link (or google).