The Barbarian Approach

The simplest approach is to bypass your router. There will be an ethernet cord going from the router to the DSL/Cable modem. Unplug the router side and plug it into your computer's ethernet port instead. Do the necessary adjustments in your computer's control panel to get online. Now you should have no problems hosting a game.

On the other hand, the internet users at other computers connecting through your router are going to be annoyed.

The Cool Way

Access the configuration panel of your router. Consult your wireless router documentation for exactly how to do this. For example, on my computer it says to browse to http://192.168.10.1 , (192.168.1.1 is even more common).

Find the port forwarding section, and allow port 4747 to pass through to your computer. On mine, its done something like this:

Note that I'm not exactly sure how to do it, and in actual testing this failed for me, I suspect because this router is old and they didn't do a good job of documenting this feature before going to market. Nevertheless, I hope it works for you.

There's some stuff with DHCP versus static IP that I'm glossing over, because I don't understand it myself.

Things you will need to know to host a game.

1) The internet IP address of your home Router/Firewall. (Do a Google search for my ip address and you will get a list of sites that can tell you the public IP address you are currently using, this can change for time to time so check it before you play)

2) You need to be able to manage your internet router/firewall. This usually means opening a web browser to the internet IP address of the router (192.168.1.1 by default on most routers) and suppling the administrator login information. Check the manual for your router for this information.

3) The IP address of your computer. To get this on a Windows PC open a DOS window and type the command: ipconfig This should be on the same IP subnet as your router. For example, if your router is 192.168.1.1 your PC should be 192.168.1.X where x equals a number between 2 and 254.

4) On the router you will need to enable port forwarding for the tcp port the game runs on. (4747 by default) Most people open a range of ports due to the games tendency of not releasing the port after a crash. You need to configure your router to accept connections on port 4747 and forward them to your ip address on port 4747. The above example would look like this:
Start: 4747 End: 4757 IP Address: [Your Computers IP address HERE] Start: 4747 End:4757

5) Tell your opponent to connect to the IP address of your internet router on port 4747.