The DMZ Host does work for me, But the way you use it is kinda not explained, This is the way I setup an ftp and host games.....
The IP you set in the DMZ is the IP given to the server by the router (found under DHCP and then the clients table)but the IP you give out or that is actually used is the IP assigned to the router by your modem...(found under status tab and the wan IP is the address you make public) I know this works cuz I use it myself.....there is also a firmware update you will need to get if this is the router you are using
BEFSR41 - EtherFast® Cable/DSL Router with 4-Port Switch
http://www.linksys.com/download/firmware.asp?fwid=1