Hi cuculanna,

Sounds like there's a firewall in your Router or Broadband Modem:

Call the tech support for that unit,  and ask them to either setup a "DMZ"
(De-Militarized Zone which means the firewall is disabled) to bypass the
built-in firewall, or open the necessary ports in the equipment with you.

Here's the List of all Ports used by Zone
and DX Games: http://mvps.org/nibblesnbits/PortRoute.html#ports

To setup your router yourself visit: www.portforward.com/routers.htm