This error indicates you are not able to connect to the game, usually due to firewall software or your network configuration (router).

First try disabling any programs running including Firewall and Anti-virus software. You can do this by:

Select the START button.
Select RUN.
Type in "msconfig" (without the ")
Press OK
Select the STARTUP tab.
If you use Windows XP click Disable All at the bottom otherwise in the list, uncheck all boxes EXCEPT for SCANREGISTRY and SYSTEM TRAY. Hit apply and then OK or Close. Restart the computer then try the game again.

If your are still unable to connect, you will want to uninstall the firewall software by going to the Add/Remove Programs option in the Control panel. Restart the computer once the software has been removed and try the game.

Next if you have a router you will want to remove the router to eliminate it as a possibility of being the problem. You can do this by shutting down the computer and the modem. Now connect the modem directly to the computer, once the modem has been off for 30 seconds turn the modem and computer back on. Test your connection to the Internet and then try the game.

Firewall / Router / Proxy Information:

http://help.station.sony.com/cgi-bin/soe.cfg/php/enduser/std_adp.php?p_faqid=1035

If you have removed your firewall and antivirus software and removed your router, you may want to contact your ISP. They may have certain port-blocking or Quality of Service features enabled on your connection, which may interfere with your connection. Please ask them to remove any such QoS or port blocking so you may connect.