The only reason it worries me is this: When I first set up my DSL almost two years ago, I immediately went and fetched a copy of ZoneAlarm. Not long after it claimed to have blocked a REAL attack directed at my computer (this was quite a while ago, so I don't remember the exact information it gave me). It only happened just the once, and never since. Anyway...

I checked on DMZ Host in the router's advanced settings, and it tells me this: "This feature sets a local user to be exposed to the Internet. Any user on the Internet can access in/out data from the DMZ host. Enable the feature as you wish to use special-purpose service." The only option for it is DMZ Host IP Address. If the last number of that address is a 0 (as in 192.168.1.0), then it's not doing anything, right?

So I guess I'd just feel better to have something running on the computer, rather than relying on the fact that NAT simply hides it from the internet.