it could be exactly as it says.
the other thing is to call up your isp and ask then to check that port 7777 udp is open on the router. but judging by the fact that you can initally establish a connection leads me to suspect that it is open.
try it with the firewall off, rather then configured to allow ps through.
and do you have one of those router modems or are the router and modem separate boxes?
edit... interesting watching karyuu with her edit pen.
