You're calling Network.InitializeServer() on the server and Network.Connect() on the client, both using the same port, right? Are they both running separate Unity projects (e.g. OnlineGameClient project is trying to connect to OnlineGameServer)? Or are you trying to make a game where a certain player hosts the game for other players, like Warcraft III, instead of using a dedicated server?
The issue could be related to the port number you're using with Network.Connect(). Have you tried changing it yet? If you are, remember to change the port of InitializeServer() AND Connect() to the same value.
If you still can't get it to work, please post the code you're using to Connect() and InitializeServer(), and the full error message you're getting in the Console (you can copy from the Console with CTRL+C and paste here).