Using a DMZ is easy-- especially if you can set IP addresses from the router (would need to know your router model to know if you can do this or not).
It is a bit more complicated if you can't (have to set a static IP address on your console).
Simply put-- you log on to router. Set a static IP address for the console-- (this will be the local area network IP address of the console for now on), then put that IP address in the DMZ-- what this effectively does is put the console outside your router's firewall--
What I did with GTA IV when I had similar issues on my old router (no DMZ available) was to put in an ethernet switch before my router-- I plugged my PS3 into that and this effectively bypassed my router and I had NAT 1. I have since bought a better router and play online without issues with NAT 2.
This is how it would be hooked up with a switch.
Ethernet switch---------- PS3/XBOX
What this did for me was allow my PS3 to pull a 2nd (External) IP address from my internet service provider (ISP)-- it essentially acts as a splitter but will only work if your ISP will allow you to pull a 2nd IP address from them... mine happened to allow this-- I had a 2nd router and network at my house for a while too (was pulling 3 IP addresses)
I used a switch similar to this one... http://www.amazon.co...ethernet switch
I would wait til GTAO starts up and see if you have issues... hopefully it will work ok (and you won't lag).