well a reaally really bad way would be to set your router to make the ip address of the machine you are on a DMZ , that'll basically make it as if it were directly connected, but its easiest, turning off file sharing on windows would get rid of the biggest hole.
next is port forwarding, figure out what ports are needed by the games, and set them up on the router to forward, this is the better way of doing it, only open the ports needed to the machines neeeded, usually directplay needs a large range of ports opening, but usually theres nothing up there anyway to worry about
although this page is specific for winmx, it has a lot of the same principles, just different port numbers
http://homepage.ntlworld.com/j.buchanan/index.html
(cloick the routers)