@slapatologis:
I'm having this issue as well. I tried to do port forwarding, but my router doesn't have a port forwarding section in the internal settings. Am I screwed?
I seriously doubt this… Now, it may be that the port forwarding option is locked out to your provider, which I have seen before, but it is virtually impossible NOT to have a port forwarding option, unless there is no NAT between your local LAN and the internet, which is very unlikely.
I may be able to assist you with this a little more in depth, and perhaps assist you with poking around in your router.
Also, FWIW, if you're using a SOCKS4 or SOCKS 5 proxy server, it is very likely that the proxy itself is where your problem lies. If you are concerned about your privacy online, I would recommend a full VPN for many reasons. Simply put, it is a far superior method of protection, and it's a lot easier to get it working.