A rather lengthy discussion of this problem on the legacy boardsUse the Search utility on the legacy boards to find other threads (The above thread was only the first one I found). This is a common problem.
Essentially, it appears that, in many cases, the problem is related to the specific server policy for resetting keys. There are also some firewall and security issues that can be adjusted within your OS (i.e. Windows firewall settings).
If there is a forum available associated with the server which you are having problems, that may be the best recourse to alert those which are responsible for maintaining that server.
Does this problem occur on every server you try? If so, try several others. If you can find servers where the CD key authentication works reliably, at least you are in a position to identify the offenders. If it happens on EVERY server, the problem most likely lies within your firewall, router or security settings.
Just my two cents...
Good luck resolving this!