What's direct connect? Not used it, so I can't tell you.
As for reverse NAT, do you mean port mapping? I.e., map an external port on your firewall to an internal port on a 'puter inside, so that connection attempts to that port will be (transparently) redirected to the internal computer?
Apparently KaZaa Lite works out of the box. Not used it first hand, so can't tell you. See
here
See
The FreeBSD diary for some instructions on how to setup IPFilter rulesets on FreeBSD. Not sure now similar OpenBSD's pf is, but the theory should be the same.
There's also a great howto
here. Shows you how to setup a FreeBSD based firewall from scratch. Should be applicable to the other BSD's as well, though.
Cheers.