You don't have to set it within Shareaza. It has to be done in the router (and/or NAT/modem) and in your respective firewall (if you own one). You will see that it worked once you pass the connection test.
If you have precise questions on how to do that, ask!
</td><td><a href="http://crawler.trillinux.org"><img align="right" style="border:0" src="http://crawler.trillinux.org/img/netsize.png" alt="Network size"></a></td></table>