When you can't figure out which port your game needs opened, you can opt to open them all, which in effect turns the firewall off for that computer. When you set up a DMZ, you're telling the router not to filter traffic to or from a specific machine on your network.
For example, if the IP address of your PlayStation's wireless adapter is 192.168.0.179, you can configure the firewall to filter traffic for every IP address but that one, which leaves the adapter free to connect on any port that the game needs.
A DMZ is the easy way to work around port issues, but it's not as safe as port forwarding. Opening up every port exposes you to more risk than selectively opening a couple of ports. Crackers and malicious programs (worms) will have more opportunities to compromise your network. Double-check your router's documentation, and consider port forwarding instead of using a risky solution like a DMZ.