Kendy,
Don't you need to run the IVAP Network Interface separately?
It's the thing that makes the 4 "LEDs" in the taskbar. I have a feeling that it is that that makes the MP session.
Failing that, I know that in FS2004, you have to go into the IVAP menu in FS (sat in the cockpit) and select "Start IVAP" to have it make the MP session and automatically join it. I seem to remember things are much the same in FS2002, only you have to manually join the MP session before opening the IVAP User Interface. (Trouble is, not only am I using FS2004, I also run IVAP in MultiPC mode, so I have two lots of difference...)