So I bought UT2004 last night and decided today to try and set up a dedicated server for my friends when they buy it. Problem is when I create a server to host the game it only shows up on the LAN window in Join Game and not in the Internet window. I've made sure to have the "Advertise Server" option checked but that doesn't seem to do anything. Can anyone help?

You need portforwarding if you're behind some sort of router/gateway.
Check the manual how to do that. Only do this for the ports required by the UT server. The destination will always be the PC running the UT server.

Thanks, I got it.