At first: It would be nice if you added a more details error description (error message? servers listed or not? timeout at connection to the server? etc.).
Depending on you country you'll the CUT or the UNCUT version of the game by Steam. CUT and UNCUT version are incompatible (at least at the time i played); so you can't play with a CUT version on an UNCUT server and vice versa. There will be probable no servers left for the UNCUT version. There are patches out there to convert a CUT version to UNCUT (just google for "rainbox 6 vegas 2 uncut patch").
Another widespread problem is that some routers require configuration. You have to open these ports;
TCP: 3074 to 3174 + 10130 (in- and outgoing)
UDP: 10140 (in- and outgoing)