I have tested yesterday a COOP or DIE server hosted on my PC (Win XP Pro SP1) behind a firewall (the win xp one).
I have configured the firewall for allowing incoming UDP request on 27910 port. Then I have used my second PC with another ISP, and joined the game.
It work fine.
So if anybody have problem with hosting a game behind a firewall and be joined by other player, please, post your info here. If your firewall can generate a log file with error message, post it too.

Here is a piece of my log file of the yesterday test :
date time action protocol src-ip dst-ip src-port dst-port
2004-08-16 23:26:21 OPEN-INBOUND UDP 62.147.75.129 213.44.4.197 27901 27910
2004-08-16 23:33:30 CLOSE UDP 62.147.75.129 213.44.4.197 27901 27910

Pat:

Could you be more specific about your hardware/internet configuration?

I am using a cable modem with a router behind it. The router uses NAT redirects to get to the the server or to a game that is logged into the world server. None of my machines hook directly to the internet. The closest I have come to that is to put the server into the DMZ, but that did not help.