You will need a port mapper such as
AnalogX's PortMapper. It basically redirects incoming ports to your computer, as the outside world can only see the IP address of the server.
If you want to run any kind of server software on your computer, just find out what ports it uses on what protocols.
examples:
half-life:
TCP 27015
UDP 27015
FTP: (up to)
TCP 20, 21
UDP 20, 21
Or change the server software on your computer to the ones you have mapped...just make sure you dont map any that are needed for other things!
For ICQ file-transfer, define a TCP port range under preferences/connections/user and map the same ones on the server.