I'm not sure I understand what you did, but does AH play when connected from the PC to your modem to the internet? If it doesn't, then you need to check your PC's firewall settings if you're using one...maybe Windows's Firewall that comes with XP (if you're using XP) could be affecting it.
If it does work fine above, but doesn't when you hook up your router, i.e. PC to router to modem to internet, then you need to look at your router's firewall settings.
Maybe Skuzzy has the info on what ports are required to be open to play AH.
I'm not too techno-savy, but maybe this might help some.