A note about security: without a decent firewall or antivirus program, you are prone to pretty much any random worm finding your ip, and having its way with your computer. This has probably already happened, and you are simply unaware of it. I would highly recommend that you download a free antivirus program as well as a firewall. Your router can only protect you while you are not in DMZ mode.
Check to see if you can update your router's firmware, this can often solve problems. Other than that... have you engaged any sort of internal security on your router? Can you connect to your router when you aren't in dmz mode?
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