Could you please be more specific with your question? Are you referring to a local network or the internet?

As far as I remember, this feature wasn't available in the initial release of Heroes of Might and Magic IV, and I think it was only present in pirated versions, while the licensed version didn't have it.

However, even in the pirated version of The Shadow of Death, there was an option for online play.

As for the expansion pack, I'm not aware of any such thing.