I'm trying to play multiplayer in my PC game, but when I try to log in GameSpy's server I get and error sign.

It's for Star Wars Battlefront 2.

I have tried to shut down my firewall, but I still can't play multiplayer, what am I doing wrong?

That's your problem. Gamespy is a joke and it's horribly lagged and buggy. It was alright back in the Medal of Honor days, but since then, it's gone steadily downhill. You're probably not doing anything wrong, but make sure that your routers ports are enabled and make sure that you do have your firewall off, and windows firewall as well.