Most likely, you are either blocking the packets or your server is not properly set up.
Lets assume your server is on port 2002.
Lets test with windows telnet. click start->Run and type (cmd/command) depending on your OS to get to the command prompt. Then type telnet localhost 2002 and see if it connects. If it does, then you have properly set up your TWGS and your firewall.
Then open attac and see if it works (assuming windows telnet connected properly). Make sure to set up the game correctly. Follow the online FAQs at
http://www.tw-attac.com/creategame.html
earth.