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The IPX network protocol is no longer supported by modern operating systems - because of this playing over a local network cannot be accomplished by default. You would need to use software which allows IPX emulation. This kind of software also allows emulating a local IPX network over the Internet.
Official M.A.X. 2 servers are inaccessible (they were established and kept alive by Interplay Company) which makes it impossible to play the game in Internet mode.