After only a few years, I have managed to match up the same port on my home network router and the built-in router in the ADSL modem, so they actually forward a specific port to the computer that runs that application. Not that DMZ was a real problem since I have a Linux machine there, but still. (With Windows, I would have the Windows firewall to puncture as well.)
Amusingly, the application noticed. "Congratulation, you fixed it!" it said when I ran another test.