I can't get into all of my friends' worlds, why?

My girlfriend and I want to play together in their world, we're also Xbox live friends but I just can't get into their worlds. However, I come in with other friends and they even live in other states, for example. Can someone help me?

The problem should already be described in more detail, e.g. What error message appears!

It says: connection to the server is established, then: no connection to the world and it says: ******* left the game without me being in the world

Is the "multiplayer option" turned off? I just don't get what it's called

Oh… Second… I don't know exactly how it is on Xbox. You have to rent a server for it…

I don't know, I just come into the world with some friends and not with some