Your router probably has NAT, and it acts a bit like a firewall as a side effect of (the capability of) mixing multiple private addresses into one public one.
Apparantly Sharaza is pretty good, I'd expect it to work anyway (though not as well). I've only used an earlier 1.0 version for a while though, I don't like it.
To set up port forwarding, you need to access your router configuration.
This is probably by visiting the website set up on its IP address through a web browser (IE, Avant, Opera, Fx, whatever). You will need to go to a website like
http://192.168.1.1/ (may be different but similar for your router, if you don't know what it is, I can make a list of likely ones, but your router's book should say). It will ask you to authenticate yourself to the router.
Once you're at the settings, look for "port forwarding" (may be given another name, I don't know). You need to forward the port 6346 (possibly the range starting at 6346 and ending at 6346) to your private IP address (the one shown in
Network Connections CLick the icon for your connection and the IP address will be in the Folder Tasks pane at the bottom).
Save/apply/accept/comfirm/enchant/eat the new settings. Maybe you will need to restart Shareaza, and maybe the router as well.