Well, I have a D-Link w/less router and it has never given us a problem with outgoing. So that was a non-issue.
Hoever, I had Norton Firewall (software), and it continuously gave him problems so that he disabled it to play his games. I wasn't too worried since I had the router firewall also.
Norton was slowing my system too much, so I changed to PC Cillin AV and firewall. The first time it asked about the game outgoing access, my son clicked ok and "remember this", and it hasn't given us a problem since.
On my D-Link router, there is an ISP number that I type into Internet Explorer URL bar, and my router's configuration screen comes up. I must do this on the "gateway" computer that is plugged in to the cable. Then the firewall can be configured. I suspect yours is the same. Don't be shy about calling your cable company for help! I am sure they have a way, online gaming is way too popular now for them not to.
Give a man a fish and you feed him for a day;
Teach a man to fish and you feed him for a lifetime;
Then industry pollutes the water and kills all the fish.