It means that you have a firewall that is interfeering with the connection. I'll just quote something from customer service to help you out some.
1. Do you receive this error every time you try and connect?
* If you receive this error every time, please proceed to step #2 on this page.
* If you receive this error only when playing a particular friend, then it is likely a problem with the friend's firewall settings on their connection. If possible, recommend to your friend that they visit the Nintendo Wi-Fi Connection help area of
http://support.nintendo.com for possible solutions.
2. Ensure your router has the latest firmware installed. Visit your router manufacturer?s website and look for any updated firmware that may be available (these are typically found under "downloads" or by searching for your particular model number). Contact your router manufacturer for additional assistance.
3. If the above information does not solve your problem, you may consider adjusting your router's Port Forwarding settings*. Each router is unique, so consult the owner's manual for your router or contact the manufacturer for specific information on working with your router's ports. For your information:
* If you are prompted for a device or profile name, you can enter anything you like (such as Nintendo DS, etc.).
* The starting port to open is 1, the ending port to open is 65535 (or as high as the router will allow).
* Protocols will need to be set to UDP only.
* Set the IP address for the ports to forward to the same as the DS's static IP that you assigned in the previous step on this page.
If you are still unable to connect, please call 1-800-255-3700 in the USA or Canada for more information.