The reason AIM does not work with the router is not because of the firewall
It is because during direct connect, AIM is using your computer's IP address that your router gives you(192.168.1.***) instead of the one your ISP gives you (your router's IP).
I had a game that did this before, Worms World Party, and was able to fix it with a registry setting.
This is the Worms fix:
You must edit the registry to force the IP address. Goto the Windows Start menu, select Run, type regedit in the box and hit OK.
Then goto
HKEY_CURRENT_USER\Software\Team17SoftwareLTD\WormsWorldParty\NetSettings.
Right-click AddressOverride, choose Modify and set the value to 1 instead of 0.
Perhaps its possible to fix AIM with a registry setting.