Generals, Zero Hour, C&C3, Kane's Wrath and Red Alert 3 all used the Gamespy system for their online play, but the whole system has been shut down in July 2014. Not really EA's fault; they're just one of the many companies whose slightly older games lost online support because of it. The shop page also explicitly mentions that:
PLEASE NOTE: INTERNET MATCHMAKING FOR SOME OF THE GAMES IN THIS COMPILATION IS PROVIDED BY GAMESPY AND THE COMPANY HAS DEACTIVATED THESE SERVICES. HOWEVER, MULTIPLAYER OPTIONS WILL CONTINUE TO FUNCTION IN THESE GAMES THROUGH LOCAL AREA NETWORK (LAN) CONNECTION. FOR MORE DETAILS, PLEASE READ EA’S ONLINE SERVICE UPDATES PAGE.
However, community servers have since been set up, so it should be possible to play online that way. More information on that can be found at http://cnc-online.net/.
Specific setup and installation info can be found on the "setup page" on their site.
For the classics (Command & Conquer 1, Red Alert 1, Tiberian Sun, Red Alert 2) you can use CnCNet.
