After doing the port forwarding and starting a new game session with the "create game" button you can use this website and check if your port 6260 is open:
http://www.yougetsignal.com/tools/open-ports/After doing the check you can copy the file "log.txt" found in Planet Mule's "data" directory and attach it here. It may show some helpful info.
To me it sounds like you'e done everything right, but some step must be missing or incorrect.
On your router you need to forward UDP and TCP on port 6260 to your local IP address (for example 192.168.1.2), as Chuck said.
In the windows control panel you need to add an exception in your windows firewall for UDP and TCP on the same port. You can also add an exception for the program mule.exe.
Your anti-virus software will likely have a smiliar way of adding exceptions for incoming connections.
Please reply and tell us how it goes.