I have a Netgear DG834G, setting up port forwarding on these is done in two steps - first you go to Content Filtering | Services | Add Custom Service - give it a name and enter the port range, then you go to Firewall Rules | Inbound Services | Add , select the service you previously created, set it to Allow Always and enter your PC's IP, then Apply it - you should be good to go

Assuming that you're doing everything correctly, have you tried checking for a firmware update for your router? It might be that there's a known problem with the firmware you have losing settings and it's fixed with a newer firmware