Okay, what then?
I've search on these forums, and configured every port to pass-through even suggested (way more than needed, I'm sure). I've even tried putting my PC in the DMZ of my router - still no good. XP firewall disabled, zone alarm turned off (or with everything in 'trusted' zones). Nothing seems to matter - OP always detects the firewall and says I cannot connect.
When I try to use Gamespy directly, it tells me that my internet IP address and local IP address are different. Well, that's true. It reports that this means I will not be able to host a server and many games with have problems. Since OP uses Gamespy arcade, I assume that's what its problem is, too.
There has got to be some way around this, but I can't find it searching here.
(BTW, FWIW, I have no problem using DirectPlay games - America's Army, Tribes 2, UT2K3, etc - all those connect to internet servers just fine. I can even host with the proper ports open! But, OP just stubbornly refuses to work.)