Question: are you logging into the internet with your modem or router, does your modem have a config page with settings on it? Lots of routers these days are gateways and function as both a modem and a router so if you forward ports on your router it wont matter as they'll still be blocked on the Modem/Gateway's NAT. There are two solutions to this: it's possible to forward through both NATs, there's a tutorial on DSLReports.com; the other, more efficiant way, is to put the modem into bridge mode and let the router handle everything.

If this ISN'T the case and your modem doesn't act as a gateway then it could be your router. If you have a NetGear router, then that's likley your problem right there. From my experiences, NetGear equipment cannot forward UDP ports (it has the option but it doesn't work). Luckily, the DMZ option (which forwards all ports to the specified computer) does work with UDP. DMZ can be found under WAN Config in netgear routers (I think). If you have an older router this should get everything working fine and you'll never have to worry about port forwarding again unfortunatly you'll run into some problems if you have a newer netgear router. New Netgear equipment has a new "feature" known as a DMZ port (I think this was desgined to make it easier for people who are too stupid to set a static LAN IP for their computer). What this does is makes whatever computer plugged into that port DMZed and ONLY that meaning it's impossible to set a wireless computer as DMZed so in that case your best bet is to buy a new router.