Ive always used TCP/IP, you just start a multiplayer game, and when the character control screen appears you have to wait for the other players. In order to join the game, they have to know your IP (you can get it by typing "ipconfig" in the MSDOS), then they select Join game, type the IP and its done.
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"I wish my Angel was here... I fear nothing with her" -Ertai, Captive of the Blinding Angel