Do you have a firewall running(windows firewall, antivirus firewall, etc)?
If so, disable that or find out how to add an exception for the client. There is a slim chance that your ISP actually blocks our game ports, since I've actually never seen one that has done that. Since your not running a router, and you are plugged directly into the modem, there is no need to enable DMZ since it's already giving you full access.
~RedEyes.