I cannot connect to the zone through my router or firewall 

You MUST have the correct ports open in your router and firewall.

Log in to your Router. You normally do this through your Web Browser, and type in the address of your router on your network eg. 192.168.1.1. Consult your manual for more details. 

A Router has two basic functions;

1) it shares your internet connection between all the computers on your network

2) it acts as a natural firewall because it keeps the IP addresses of all the computers private and just displays one “public” IP address for the whole network.

There are two ways to enable the router for online play. The first is to find out the IP address of the computer you want to play on and put that IP address in the DMZ section of the Router. The second is to open up the ports used by the game. Your manual or router help should tell you where to find the control panels for Port Forwarding and the DMZ.

DMZ

This is the easiest way to do it. The DMZ is the Demilitarised Zone. Any IP address put into the DMZ bypasses the router’s natural firewall so that it can connect to the game server. The drawbacks are that it exposes the computer to the internet completely and will only allow one PC on the network to do it.

The procedure is simple. Just type in the IP address of the computer you want to play with and hit OK. Job Done.

Note also that even with a PC in the DMZ, it can still be protected by a software firewall.

PORT FORWARDING

This is the safest way to play online and involves opening up the ports in the router that the game uses. This does not expose the PC any more than is necessary to play the game, and allows all PCs on the network to play online.

The ports you need to open are as follows;

For AoE and RoR;

47624 TCP 
2300-2400 TCP 
2300-2400 UDP 

Some routers, usually older ones, do not allow you to put a range of ports in, which means you will have to put the PC in the DMZ and set the ports in the firewall. See your Firewall documentation or help files for details, as all firewalls have their own interfaces.