Ok two question really, are you using a firewall, and which one?

Also when you say router is it a modem you can plug several computers into?

If you have a firewall running you need to goto that firewalls options (When you tell u which one someone will know the exact procedure) and then find where it lists the open ports and add the port you want to open.

For the router you need to find its IP address and then type that into the browser address bar, then its options screen will come up, the IP address is usually in the manual I think

I hope that helps in a basic way...