Peer-to-Peer (P2P) network is a group of computers communicating directly with each other without through a central server. P2P network is used for file sharing, multiplayer online games, to avoid the expense and delay of traffic at the server. However, P2P communication has problems dealing with Network Address Translation (NAT) traversal. Based on the development of Hole Punching technique, the ability to across NAT can be easier and more convenient. Conventional Simple Traversal of UDP through NATs (STUN) protocol was given to discover the type of NATs behind Clients. In conventional STUN processing, the tests follow the sequence of time that means the first test is needed to get the result before performing the second test and so on. Thus, the system testing has the delay of time. So, in this paper, we propose an improved STUN algorithm that separating tests of the conventional STUN algorithm and perform all tests in parallel. So, the execution time will be shortened significantly. We also have reality experiment in which is applied improved STUN algorithm for testing NATs and then using UDP Hole Punching technique for establish P2P connection.