That's a very bad idea if you are on a network, unless your router lets you disclude certain ports from the DMZ. Computer networks use certain ports (139 is one of them) for all the file sharing stuff, and if you have a DMZ on a computer, hackers can easily get in and wreak havoc on your network shares and printers.

I've found a better solution than port forwarding or DMZ, but it isn't included in all routers. It is an option called "port triggering". Basically there are outgoing ports chosen, which when used, will open up specified incoming ports to the computer the outgoing ports were from. This makes it so that you can use the game on any computer without going into the router settings, and also keeps the ports closed until you need them, making less of a security risk.