Konami said:

If you receive an error message that you are unable to connect to the server, it basically means that you have one or more ports blocked on your internet connection. They can either be blocked by your Internet Service Provider, or if you are using a router, modem with router function or firewall software. We cannot recommend the usage of W-Lan or websticks. If you use one of the mentioned devices in order to connect to the internet, please switch to wired connection in order to improve the connection stability and speed. If the Router you are using is compatible with UPnP, please make sure that the UPnP function is enabled. Please disable any firewall/antivirus program on your pc. Also disable the Router?s Firewall function and make sure you the following ports aren't blocked by your ISP (Internet Service Provider) and are open on your router (refer to the Router Manual in order to this): Please also ensure that DMZ is activated. PC: TCP: 80, 44, 4000-4200, 6112 UDP: Auto mode: 5730-5739, 6112 Manual mode: It is possible to set any UDP port number from the "settings.exe" in the Konami Start menu folder.

Download
Konami Port Checker
Dont forget Windows firewall and any other blockers you might be runing(Peer Guardian springs to mind).

If all that fails, Ag, just go to http://www.pes6j.net/forum/register/