This information is from Relic Games forums. It is intended to assist you with DoW related connection problems. Any questions can be directed to Relic Games.
How to Resolve Dawn of War Connection Problems
You'll need two pieces of software: http-tunnel and sockscap
1. Install both programs
2. Start up HTTP-Tunnel. After the initial dialog screens, it'll auto-detect
your configuration. You're done with HTTP-Tunnel now.
3. Run SocksCap and navigate to find W40k.exe (or the executable that is
used to start the game) in your DoW main folder and click-drag it into the
SocksCap window. Go to file->settings, type in 127.0.0.1 and leave the
port as it is. Below there should be a radial button for SOCKS Version 5,
click that to enable it.

4. At the top there is a tab called Direct Connections, click on that and
at the bottom you'll see SOCKS Version 5 Direct UDP ports.

5. Click on the Add button to add the ports DoW uses. The most important
port you have to put in there is 6112, because that is the port that DoW
itself sends data on. 6500, 27900, 27901, and 29910 are Gamespy-specific
UDP ports that you can include in there as well, but they're not as important.
6. Note, the lobby itself may be very laggy, depending on the speed of your
connection to the http-tunnel server. In-game lag, if any, is due to your
own connection, assuming you have set the UDP ports on direct connect. If
you can't play Direct Connect games in DoW then don't put any UDP ports
in the direct connect list.
7. Finally, to play the game, just double click W40K (or whatever the game
executable is) inside SocksCap and start playing.
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