If you are attempting to use Gnapster (or any Napster client) under a firewall please read!!
Napster itself has kind of a hacky way to get around firewalls, by setting your port to 0 and connecting outgoing instead of incoming in order for you to upload. This still means that you cannot download from other firewalled users with the same setup, severely limiting the functionality of Napster. Gnapster currently supports this option in the preferences as of 1.3.7.
The real problem is that a lot of users on Napster are behind a firewall as well. Thus, your computer and the one you are trying to download from cannot accept connections in. This creates problems. The only way around this is for one of you to be able to accept. This is left up to you.
The best way to completely resolve this problem if you have access to the gateway machine is to setup port redirection. Redirect port 6699 on the gateway machine to your IP in the LAN (port 6699). Then connect to Napster normally and everything should work fine. I used a program called redir to do this on my home LAN.
IMPORTANT! If you do not have admin access on the gateway machine you cannot do this! I suggest opening the properties and checking the firewall option. This will cause the server to limit your search results to only computers you can download from.