A method in a first device for setting up a peer-to-peer IP connection between the first device and a second device may include sending a request to a second device for setting up the peer-to-peer IP connection between the first device and the second device. The request may include an IP address of the first device. Alternatively, an IP address of the second device may be received in a message from the second device. The peer-to-peer IP connection between the first device and the second device is then set up. The setting up may be initiated by one of the parties associated with the first device or the second device by connecting to the other party using the IP address of the other party.