I launched a server but no one comes in.
This can have several reasons.
One reason is a firewall on Windows is blocking the program from sending data through the internet. You must allow UT2004 doing that.
Second reason is you must open the ports (it's a number after the IP that allows package sending through that port) UT2004 uses when you host a internet game.
Third reason is there may not be someone in the game searching for servers right now. Ask a friend if he is able to join, or try to ping your own server.
The ports for UT2004 are:
7777 - 7788 (choose TCP and UDP)