I posted this elsewhere but seeing that some may have an issue I thought I would reproduce it here. It also includes a wonderful website at the bottom for step by step for each type of router. I hope this helps.

It has come to my attention that some people may not be familiar with opening ports. With a little liberalism with plagiarism and a sprinkling of cuts and pastes this should help those with opening ports. See the readme file for the exact ports that need to be opened.

Note The actual port settings vary from program to program.

To manually open a port, follow these steps:
1. Click Start, and then click My Network Places.
2. Under Network Tasks, click View Network Connections. (Or, right-click My Network Places on the desktop, and then click Properties.)
3. Right-click the connection that you use for the Internet, and then click Properties.
4. Click the Advanced tab, and then click Settings.

Note If the Settings button is unavailable, ICF is not enabled on this connection, and you do not have to open any ports (because they are all already open).
5. Click Add to open a new port.
6. In the Description box, type a friendly name. For example, type File Sharing : Port 445.
7. In the Name or IP address of the computer hosting this service on your network box, type 127.0.0.1.

Note You can specify the IP address of an internal computer. But you typically will use 127.0.0.1.
8. In the External port and Internal port boxes, type the port number. Generally, this number is the same.
9. Click either TCP or UDP, and then click OK.
10. Repeat steps 1 through 9 for each port that you want to open.

Source: http://support.microsoft.com/kb/308127

Routers on the other hand can vary from maker to maker so I recommend a site called portforward http://portforward.com/routers.htm . Just select your make and model in the following link.