First off
DMZ forwards all requests of all port from the internet to your machine. This is not safe because it basically leaves your computer completely open to hackers.
I assume that you are talking about MSN messenger.
In your configuration page for the linksys, there is a tab that says Forwarding. This may be found after selecting the Advanced tab (depending on the router model).
To enable voice communication, forward TCP port 6901 to your computer's IP.
To enable file transfers, forward TCP ports 6891-6900. This allows for up to 10 simultaneous file transfers.
Also, forward TCP port 1863. This is the port that messenging uses.
Also, according to the link from TheOldMan, the person enabled PPTP and IPsec on the the Filters tab. You most likely do not need to do this. These are for remote access only.
Let me know how this works out