I have exactly the same problem. I have never been able to join any of the multiplayer games on any of the versions including 1.0004. The machine hangs at the connecting... screen and I have to manually switch the computer off, which pisses me off no end.
I think the best you can all do is upgrading your stalker to 1.0005. This patch is mostly an MP Fix, and really seems that make things better (but in same case worst).
In our dedicated server we are enjoying the greatest experience ever had with this patch, and seems that many of the known issues have been fixed (finally).