Ditto.
I think zona alarm pro may do what you want, not sure though. I dont think its possible wth the free edition, my father tried what you are doing and never got it to work, and hes pretty computer savvy.
I have a ZA free edition, a router, static ips for each comp and put the machine ips in the trusted zone as NightCrawler said above. Makes stuff like port forwarding etc mucho easier.