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I believe the menu in Need For Speed actually specifies that it's TCP, though I don't really trust my own memory. Selecting both doesn't hurt, anyway, as far as I'm aware. Though putting your computer in the router's DMZ should only be done as a last resort, because it leaves your computer completely outside the protection of the router's built-in firewall, and usually isn't necessary, because a simple port forward is sufficient to make the firewall let the connection pass right through. And since you're essentially running a really old server application that hasn't received security patches ever in the background, you don't want to unnecessarily expose yourself.