DMZ essentially exposes a single computer as if it weren't connected to the router at all. Of course, this means it lacks the router firewall's protection; you need to make sure to have a firewall on your computer as well. Of course, that firewall could prevent you from hosting as well, and turning it off to host JJ2 servers is a pretty bad idea. Of course, you can add Jazz2.exe as an exception to a local firewall.