Enable the DMZ option only as a last resort. If you are having trouble using an application from a computer behind the router, first try opening ports associated with the application in the Virtual Server or Port Forwarding sections.
Non-UDP/TCP/ICMP LAN Sessions is normally enabled. It facilitates single VPN connections to a remote host.
ALGs provide special handling of the IP payload for some protocols and applications to make them work with network address translation (NAT). If you are having trouble using any of these applications, try both enabling and disabling the corresponding ALG.