I use a router with UPnP
First of all make sure the UPnP service of your modem is turned on. Most routers have a web config page which will let you check this (Type the IP address of your router into your web browser).
If you are using a software firewall (such as Windows XP’s built in one), you will have make sure the firewall is not blocking UPnP. You may also have to make sure your UPnP router's firewall is not blocking UPnP.
To do this you will need to open ports TCP 2869 and UDP 1900 to your local network (not the internet).
To do this with Windows XP SP2’s inbuilt firewall:
Click – Start…Control Panel…Windows Firewall…Exceptions (tab) and click the box next to UPnP framework then press OK.
Note that when starting Azureus it will pop up some boxes in the bottom right hand corner and tell you if UPnP has successfully forwarded the correct ports.
If you are having problems have a thorough read of the Azureus Wiki page on port forwarding, and consider dropping back to using manual port forwarding.