First, go to Start > Control Panel > System and Security > Windows Firewall > Allow a program through Windows Firewall and check the box next to Combat Arms. If you can't find the game in the Allowed Programs and Features window, press the Allow another program button, navigate to the installation directory, select the executable file and press Add.
After that, from the Advanced Settings select Inbound Rules > New Rule. Check the Port box, click Next, select All local Ports and follow the self-explained steps. Also, make sure that your security program doesn't block the connection. If it doesn't help, uninstall the game, run a registry cleaner and download and install the upgraded version from the official web page.