The two main reasons this happens are: both you and the user you are trying to help are behind NAT routers (in theory shouldn't be a problem if the routers support UPnP) and firewalls.
You should ask the person you are trying to assist to turn off any firewalls they may have. Forwardng port 3389 on the router may help as well.
For more information, see:
http://support.microsoft.com/kb/301529/en-us
http://support.microsoft.com/kb/921047/en-us
Remote Assistance Help.
