A more explained version of Flamemans post.
Does the Toolbar on your SA:MP Client look like this? Does it State '0.3c?'

If your toolbar says anything different, e.g. SA:MP 0.2 or 0.3b, then click the following link to Download the newest Client.
LINKAre you using the following IP Address?: 178.63.52.144:7777
If you are running windows XP, go into the Start Menu, click 'Control Panel'
If you get this screen come up:

You'll see in big writing 'Manage Security Settings for:' Click Windows Firewall, click the exceptions tab, and then 'Add an exception.' Add sa-mp.exe to the list.
HOWEVER
If you get THIS screen popped up when you click 'Control Panel'

Just click 'Windows Firewall' and follow the Adding exceptions advice from above.