Several questions to begin with before any solutions can be attempted.
Have you ever been able to join a coop game or is this a new problem?
Is it only coop or can you join any deathmatch games?
When you attempt to join does the game shut down?
Can you post at least part of the error message?
Does UT work online?
Hopefully one of these answers will help to see just what the problem is. Don't give up, it is too much fun once you have it working.
Maybe just an uninstall/reinstall will fix it.