Every router has a different was of configuring its firewall and multicast settings, and they all have different default settings. Please refer to your router's manual for an authoritative description of the process.

For the common Linksys Cable/DSL Router (such as the BEFSR41 v4.1), you can modify the router setup by going to the Security page (which is often at a URL like: http:// 192.168.1.1 /Filter.htm), and down near the bottom, you'll see a setting for Filter Multicast. By default, it will be disabled. Change it to enabled, save the settings, and you'll should be able to start sharing between Stanza Desktop and Stanza iPhone.