Weird. Nobody here can really suggest something, you'll want to contact [email protected] and get support.
Though I'm going to go into a developer mode for you;
1. Assuming ROBLOX establishes connections straight from the client to the other clients, (which I doubt they do), you may want to turn off any firewalls and see if it helps.
2. There could be some corrupt file of some sorts in the app. Try a full uninstall, and then reinstall at http://www.roblox.com/install