Failed to join game quite often means that somebody else joined before you did and there isn't any space any more, but it also comes up when you have some kind of other random problem (I guess with yours or the hosts connection). I think most connection problems are due to routers, as many apparently don't work properly with Gamespy. I know of people who have multiple routers, one they use normally, and another they use when they want to play games with more than 1 other person. I occasionally get this kind of thing, but quite often restarting my router does actually sort this.
If you get "No response from host" then it isn't your problem, it's the hosts.
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