Which type of router did you purchase. What you will have to do is allow traffic on that specific port.
Find your IP Address:
Windows 2000/XP:
Start > run > cmd *press enter* > at command prompt type ipconfig
Windows 98:
Start > run > winifcfg *press enter*
Windows ME:
start > run > command *press enter* > ipconfig
If your IP Address is for example: 192.168.1.100 then the routers IP Address is 192.168.1.1
You will want to enter that IP Address into your Browser (Internet Explorer or whichever)
It will ask for a password. type in administrator.
You will have to enable a specific port on the router to allow traffic. The port is 1863. But thats as much as I can give you without knowing the make of the router.
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Example this is my router setup.