That suggests your computer is timing out on the connection. If there is no packet loss on the connection, then it is taking your computer to long to establish the connection.
Try this. Go into "Offline Practice", then from the clipboard, uncheck "Options->Graphic Detail->Advanced->Detailed Terrain". If it is already unchecked, then I need to see the DXDIAG (Start->Run->DXDIAG) output.
Do you ever get into the tower of any of the arenas? If so, for how long?