I couldn't get Yuri's Revenge to work online, have yet to try with just RA2.
EDIT: By the way, if anybody wants to use resolutions over 1024x768 you can edit either the ra2.ini (Red Alert 2) or ra2md.ini (Yuri's Revenge) with Notepad. Just change the values, this is what it looks like when you first open it (after you've run the game once, default values might differ depending on if you've changed the resolution in the options):
[Video]
ScreenWidth=1024
ScreenHeight=768
StretchMovies=no
I changed it to be the same as my desktop resolution:
[Video]
ScreenWidth=1152
ScreenHeight=864
StretchMovies=no
I should soon be able to run it at 1680x1050 when my new monitor arrives.