The trouble is your machine does not have an internet IP, only the router does. And your router dosent know what to do with connections on that port, so it discards them like any other unknown data.
What you have to do is set up port forwarding on your router so that it knows that connections on port 5121 should be sent to the PC your using to serve the game. You should be able to (and thus should) leave your firewalls running.
Zonealarm will let NWN out, and if it dosent you can go into the programs tag and enable server access to the internet zone. Your hardware firewall will have to have the port opened, you'll probably do that when setting up the port forwarding anyway.
This thread:
http://www.ironworksforum.com/ubb/cg...;f=10;t=013188
Covers things in more detail.