A proxy game requires every player to remain connected to the server. For a number of reasons, it is best to create normal games instead of proxy games.
Here is a link to a tutorial on how to configure your firewall and/or router to allow you to host.
http://us.blizzard.com/support/article.xml?locale=en_US&articleId=21703&rhtml=true
That is the turorial for world of warcraft, but you follow the exact same steps with the following and important diffence: the default game port lackey uses is 25710 and the default server port lackey uses is 25711. Lackey uses both TCP and UDP, so enable both.
The linked tutorial will mention other port numbers, but you only need 25710 and 25711 for LackeyCCG. If you are just going to be hosting games, you really only need 25710.
The link you have provided is no longer may want to update it ;)
The server seems to be down
Can we still play online games or is it down completely?
Note that the server is still online and is hardly ever offline any more. That's why before your post the last comment in this thread was in 2013