The game opens a single stream on port 7777 for client connections. If this were a server you'd need 7777+ on up to about 8000 open (depending on how many players you host, it uses more ports incrementally for each player).
I've had no problems simply playing UT on my client machines (up to 3 at once on the same hub/router) other than the limitations of my rather crappy router's NAT abilities

.
It sounds to me like you have an issue with the Proxy software. Make sure port 7777 is open to UDP transmissions.
Xayd