Things to note, in case you weren't aware, or just for future reference:
To join a private friend hosted game, you can't join it from the friends list in-game. The people inside the server need to invite you. Also, when you join the host's game, you are joining their version of the world, in other words, their current quests.
Like if you had higher lvl quests that you were currently on in your game, but you join your friends game who is lower level and doesn't have that quest, yours
won't be carried over.
Other than that, I think just adding people to each others friends list should be the gist to get it working, and that whole deal with opening ports if you wish to be the host.
My gamespy ID is 'Agent4054'