I have been trying to join a multiplayer game to mess around and complete the trophies, yet every time I join a game it loads and then sends me back to the main screen. The message is that I was kicked out by the host, yet this happened every single time, so I came to suspect there is a bug or a problem with my connection.

Is there some setting I have to modify on my router to be able to play online? Maybe open some ports? There is no info of that on the manual, so I ask here...  

It's a problem with your connection. Make sure your NAT is Open. If it isn't open, you need to open up ports on your modem/router.

Thanks for the answer.  

The NAT was enabled, and I didn't have to open any extra port... yet this morning I was able to join a game.