As phflack said, you could try UPnP, but if that isn't an option for your router it may be a case of the settings not applying correctly.
Certain routers have a "save settings" down at the bottom, so they may be there at first, but if you don't click that, it doesn't save. Some require restarts after just about everything; if in doubt if you're doing it correctly, check the guides on
www.portforward.com