Centurio,
Hearts of Iron 1 has been out for about 4 years now. Most players have moved on to Hearts of Iron 2, or the Hearts of Iron 2: Doomsday expansion.
I've never tried MP (too much of a time investment IMHO) but you might want to make sure you're patched up to version 1.06c (the final release) and you are playing the same mod (normal 'vanilla' HOI, or CORE/Stony Road/etc).
If you need more information, please see my thread on the main HOI 1 forum: 'The complete guide to patching beyond version 1.06c'
Like most multiplayer games, you won't be able to play eachother unless your both running the exact same version (all the same patches, etc).
Hope this helps,
- Commander Keen -