Step One. Configure your DC++ client:

Go to the 'Connection settings' tab of the DC++ and select 'Firewall with manual port forwarding'

Ports -> TCP = a single port x (between 1025 and 32000)
-> UDP = a single port y (between 1025 and 32000)
External/Wan IP = your routers external IP (if you use a normal DSL modem, leave it blank).

Step Two. Configure CPF.

1. Go to the 'Network Monitor' panel.
2. Right-click the mouse and choose 'Add rule'->'add'. On the new window that appears, set the following rules:

Rule for TCP protocol

Action = Allow
Protocol = TCP
Direction = In
Source IP = Any
Remote IP = your computers internal IP adress (you can also use 'Any', if you are using a modem and not a router; by this you won't have to change the IP address every time you connect in internet )
Source port = Any
Remote port = x (same with the TCP port used at DC++)

Rule for UDP protocol

Action = Allow
Protocol = UDP
Direction = In
Source IP = Any
Remote IP = your computers internal IP adress (or 'Any' )
Source port = Any
Remote port = y (same with the UDP port used at DC++)

3. Move the rules up, above the default 'Block IP in' rule.

Now DC++ and similar direct connect clients will connect without any problems.