If DMZ still doesn't work no matter what you've tried, then my guess is it's either another firewall or it has something to do with NAT (Network Address Translation). Before I got my Linksys router, I had problems with playing JJ2 online because of the NAT on my Westell modem. The solution from what I read said I was supposed to bridge the modem somehow, but I couldn't figure it out. I should probably do some more research on that subject sometime.

I'm just wondering, what model is your modem?