This can be as a result of two things. Your firewall or your router.

Please note that if you do not open/forward the full range of ports for the game, some players will be unable to join your games.

FIREWALL

Go to PortForward.com and select your firewall from their extensive listing.

Select Incoming and Outgoing Traffic Rules.

Then select Warcraft III from the application list. 

TCP Inbound Local Ports 6112-6119

TCP Outbound Remote Ports 6112-6119 

ROUTER

This is a bit more tricky.  Go to PortForward.com and select your router from their extensive listing. Then select Warcraft III from their application list. There are easy to follow step by step guides with images for every router.

I've listed the more popularlocal ISP issued routers below for your convenience.

• Efficient-Siemens Speedstream 5200
• Paradyne 6211-I1
• Paradyne 6211-I2
• Paradyne 6211-I3