If you don't want to use DMZ. Go to the FAQs for SOF and find out what ports need to be forwarded. There will be something like an "Advanced" tab on the router set up. Go into that and look for port forwarding. Enter the SOF ports for the Internal IP address of the machine you game from. You may need to set the same port triggers also.
Some games are a lot more demanding than basic applications like IE, Email, Messenger, etc. because you have to be visible to everyone in the lobbies and the game. Microsoft games played on MS Zone are the worst. I just give up and open DMZ for those.