Hmm. There are probably certain ports that need to be opened, but which ones, I am not sure. Is this a new router? Also, it's likely that if you go to the official xbox live help site, that they'll have some section that deals with this; port opening and routers are a pain in the arse for online console gaming.

Btw, you could save yourself some trouble and money by using http://xbconnect.com/

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