I don't have any kind of DMZ set up, just a simple private network with NAT overload to the public address assigned by my ISP.
I've forwarded TCP ports 3724, 6112, 6881-6999 to the private IP address of my PC.
The firewall on my PC is configured to allow the downloader .exe through Windows Firewall.
It seems to be connecting to the occasional peer. Am I missing some ports that need to be forwarded or something?