First of all, know what port number(s) you need to let through. On my belkin router I have a link at the side that reads "application gateways". in the trigger port and public port boxes, enter the port number you want to let though. do this twice: once for TCP, and again underneath for UDP. enable them both and apply the settings.
then go into "virtual servers". the LAN IP address box should be the last number in the octet that is your internal IP address. i think belkin defaults the numbers to 192.168.2.X. The X may be 1 for your first computer that connected to the router, 2 for the second, etc. Wahtever yours is, enter it in this box here. (if you don;t know what it is, click start>run. type "cmd" (without the quotes), and then type "ipconfig". it'll give you the number by "default gateway".). now back to the router page: you obviously want to choose TCP&UDP, and then enter the port you want to make available in the LAN port box and the public port box. again, enable the settings and apply them.
reapeat for any other ports you want to open too. that should be it. also make sure that your software firewall is letting the traffic past. if you've done the above and it's still not working, try disabling your software firewall and see if that makes any difference. if it does you know you need to open the port in the software firewall too.