What brand of router do you have? I can play online jsut fine with my Linksys router. Even tho gamespy pops up that thing that says you won't be able to play online because of your firewall you will still be able to play online. At least I can as well as the rest of the people I know that have routers with firewalls.
Gamespy does blow, although it has changed a lot since I first started using it. Tell what other program there is like Arcade and I'll be happy to try it out.