Online multiplayer mode has similar limitations to direct IP connection, in that the host must set up their network to allow incoming connections - which may involve modifying settings on your gateway to enable port forwarding. The specific instructions for setting that up will depend on the gateway hardware used on the host's network. We have some additional information to help with setting that up here. We're still working on an improved implementation of Online Multiplayer that uses our servers to work around requiring that additional setup.