Hm, I know when I switch my connection I have to "tell" the router so the ports are going to the right place. I suspect you need to configure it. Though I don't know why you'd still have the problem if you don't go through the router. Do you have a firewall on your computer that needs to be reconfigured for that?
You can have a look at
www.portforward.com and see if you can find an answer.
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