The DMZ (Demilitarized Zone) is used to show network ressources to the other computers outside that network. (tell me if Im wrong) Basicly it takes ur comp and let the traffic pass trought the router to that computer (to the IP specified) without any restrictions the router would have in his config. (When you play games and all sometimes you cant because the router block the ports used by the game.

Using the DMZ option resolve that problem but it makes you open to attacks from the net. It's what I do here, I have a D-Link Router and I put myself in the dmz zone. Then I installed zone alarm on my comp to protect myself. The best would be to config ur router by specifing the input and output ports you need but Im too lazy for that.

EX:
[Network]

"Router" ---> [DMZ]

[Internet]

I hope I'm being usefull