I am running winproxy 4.0 to share my internet connection. It is apparently blocking my ability to connect to other players in gamezone. I am not very familiar with the program but I opened all required ports (I think). This didn't help so I turned off the firewall and just used it as a simple proxy. I still cannot connect to another players game. Any help will be appreciated.

You need to set up port forwarding if you go through a proxy.
Sounds like a strange setup. I'm not familiar with this Winproxy software either.