The current Microsoft position is that:

Microsoft strongly recommends against using DirectPlay to develop new applications. Game developers should use Windows Sockets and the Windows Firewall APIs

Further details about the reasoning behind this can also be found on the MSDN forums:

DirectPlay was created back before TCP/IP become universal, and the majority of the code in it is for supporting serial head-to-head, modems, IPX, etc. The only functionality missing from the core networking services would be DirectPlay Voice (which has major security concerns) and the lobbying. There are third-party solutions to both of these available today, and we are working on our own offering as well. The point is that DirectPlay doesn't need a 'replacement'. it's functionality has already been largely subsumed by standard network APIs.

With similar message in other lists and forums - DirectX-l #1, #2, DirectX newsgroups #1, #2, #3. Wow, Chuck Walbourn gets around !

For .Net programmers this means write your own stuff using the System.Net and/or System.Net.Sockets namespaces and the PNRP APIs (I do not believe there are any managed implementations of PNRP).

Mykre created a page with links to how to use some of the APIs if you are considering replacing DirectPlay with Sockets