Problem with multyplayer and direct connections with a windows network and a linux gateway

For some reason it's impossible to make direct connections to other
computers on the internet wich means that no multi-player games and
other programs like that never work. On the other side, I can connect
to servers.

For example, if I ping to a computer that's not a server all the data
that it's sending as response gets lost somewere at the Linux Gateway
computer.

How can I solve this?