When being invited to play a private online game it comes up with " ERROR - Can not connect to host "
Anyone know why or how to fix this?

If your mate is hosting it on his own PC and is behind a firewall/router he/she will need to forward that port to their PC or open the port in windows firewall or 3rd party firewall program.

Cheers Mate. It's on PS3. would it still be the same deal with the wireless router.

Yes, most routers act as a firewall to keep the bad men out. Depending on the firmware and brand of router it might have a page somewhere that lists all the devices connected (by mac address) and their assigned IP. It's best to assign a static IP to the host device if this will be a regular occurrence but if it's a one time thing then just add the PS3's current IP into the forwarding page of the router along with the port you've got it running on.