Shring, are you and your friends even able to connect to each other in the first place? If you're having difficulty with direct-IP connect over the Multiplayer tab, then it might be easier to set things up over Ironclad Online (which is where you'll find all of the other online players).
Also, it would be good if you and your friends set up Port Forwarding for Sins. In your router settings, you want to open up ports 6000 and 6112. Also, check to make sure that your firewalls are set to allow Sins. You don't have to do all of that, but it might help.
You can make the games Friends only (if you've added your friends to your friends list) or you can password them to keep creeps like me out of your private games. What's nice about ICO, of course, is that when your friends aren't around you can always play with other people, either as comp stomps or as games against human opponents.
