Linksys Cable,DSL Router/Serious Sam

[TOCSYS]

When I want to host a game, I enter my computer's IP address into the DMZ host tab. After that I have no problem hosting a game. But for some reason I can't host a game of Serious Sam even after I do that. I remember having the same problem with another FPS but I can't remember the name of the game.(I think it may have been NOLF)Why are certain games effected by the router even after using DMZ? Is there somthing else I have to do to get these games to work through my router? Any info would help. Thanks.