You might want to try out my new Shareaza Connection Test. It will tell you if your firewall or router is set up properly.

If you need more help (for example configuring your router/firewall), maybe it would be a good idea to search the Shareaza forums, there are many interesting threads that might be helpful. Also there's the Shareaza Wiki which can be of great help as well.

In my opinion, Shareaza is a good client.