Conspiracy theories abound... Why open your mail, because there could be anthrax in the package. If your power goes off, it could be a robber who wants to lure you outside. Should you really stop and help that pretty girl whose car appears broken down on the side of the road? Should you take your firewall off your PC so you can host a game for you and a few friends, because there MIGHT be bad people lurking who want to get on your PC and create havoc? I say go for it dude

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The truth is, most people (not corporations) get viruses from email. Haxors go after corporations for privacy information, credit cards, etc.. What does a DX player have that a haxor wants? Nothing... Unless you have really pissed one of them off while they are playing, they don't even care if you exist or not. So enjoy your game as you see fit.
First check your modem and see if you have the firewall disabled (you may have to call your ISP and have them walk you through it step by step), then if that doesn't work, do the unthinkable, disable your firewall from your PC while you are hosting. After you have finished, put it back on for safekeeping. See you on the battlefield.