Will the game work without ZA up?
You should be able to log into your router and set your gaming PC to be in the
DMZ. Most should hand your PC a NAT(Network Address Translation) address, something like 10.0.x.x for your internal IP. If you put your computer in the DMZ, the game ports should start to respond. ZA should prompt you for the access if it hasn't already.
When you are in the DMZ you are basically waving your rear in the wind, and *should (read: NEED)* have a firewall whether software or hardware between you and your ISP.
You could have problems with other computers down the road, running similiar games though. As only one IP, typically, can be configured for the DMZ at a time.