The document http://digilander.libero.it/smasherdevourer/schede/linux/zeroshellEN.pdf by Cristian Colombini describes a network setup in which Zeroshell has been connected to Internet by using another router.
Probably, instead, in your case you are using a Cable or xDSL modem (not a router). If so, Zeroshell must obtain an IP address directly assigned by your ISP. Ask if it is able to provide the connection by using PPPoE. In that case you have to create a PPPoE interface in Zeroshell and use it as default gateway. In addition, you do not require virtual server configuration because the PPPoE interface should be obtain a pubblic IP.