If you are all connected on a LAN then they can just hit "Join Game" and they should be able to join your game without using Gamespy. I did it with my friends, no lag whatsoever, gawd it was so sweet......
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We are the Pilgrims, master; we shall go always a little further:
It may be beyond that last blue mountain barred with snow
Across that angry or that glimmering sea . . .
-Who Dares Wins