LAN Connection through a Router

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Here's my problem, I have 2 pc's connected to the internet through a router. I want to be able to have a LAN connection (with file sharing and all the rest of it) with them.

We both have Win XP SP2 and Zonealarms firewall (which we have put each other's IP in as a Trusted IP), we have also run the new network wizards more time that I can remember. We have also set some of our folders to sharing and also turned off the windows firewall but with no sucess.

To give an example, I wanted to play a mutliplayer game with the guy on the the second pc using the 'Play LAN Game' rather than connecting to the internet.

Any help would be great.
 
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