You can still use DMZ for one system, but it is not recommended. Instead, you must make sure that you have the proper ports for FFXI opened in the firewall settings of the router.

TCP 25, 80, 110, 443, 50000-65535
UDP 50000-65535

The low number ports are primarily for POL and things like the outdated mail system, but those ports are going to be enabled automatically anyway. (Otherwise, you could not check your email for your ISP or browse web sites.) The main ones you want to be sure are open are the ones from 50000-65535. Make sure you open them for both TCP and UDP.