I'm using a NAT router and it's a fairly simple process to get the GP2X portforwarded.
To set up networking, you need to set the GP2X's IP to something within your subnet range, usually the first 3 parts of your IP. You then go into the properties for your created net device and set that IP to one different from the GP2X's.
You then port-forward 80 to the GP2X IP.