1. Try changing the compatibility to "Windows 98/ Windows ME" by right clicking on the cncnet icon, select the Compatibility tab find it and click apply.
2. If you already have Red Alert 2 with Yuri's Revenge installed on your computer, try going to C: Program Files->EA Games->RA2->Right click on these two files: "gamed" & "Ra2md" and change them to the "Windows 98/ Windows ME"
3. Try running as a Administrator