Depending on model of Linksys, such as if it's a WRT54 (which have firmware problems) then it's best port forwarded as they don't work well in UPnP mode.

First step is the most important & must be done first: Setting up a Static ip

Second step is to create a port forward rule in the Linksys device: PortForward.com - Free Help Setting up Your Router or Firewall

If you have a different model Linksys which does not have 54 in its model number, then UPnP mode should work ok. Generally anyway.

Routers have NAT which is based on ip number, but behave similarly to a firewall in a way except by restricting ranges of incoming ports.
UPnP mode is where a program communicates with the router to open a port specially just for that session. However not all devices have good UPnP implementation.