I found that I had to disable DoS attack protection for the WAN interface on my Zywall 35 in order for these multicast streams to work. The router seemed to be detecting the vast number of inbound packets as an attack of some kind and then dropping them. It looks like the packets are arriving fragmented (1480 bytes, rather than the full 1500) - don't know if that is at all related to the DoS attack prevention being triggered.
I had to configure two devices for igmp proxy support: the Zywall 35 (doing NAT), and also the ADSL modem sitting in front of the Zywall (a SpeedTouch 546 in routed IP mode). I followed the instructions provided by Zen for the SpeedTouch. This worked, but doesn't seem entirely reliable. I notice that the SpeedTouch firmware (5.4.0.11) has support for a full blown multicast routing table as well as an igmp proxy. For the Zywall it was basically the same as explained by Dave for his Prestige 661: enable IGMPv2 for LAN and WAN interfaces in the web GUI, then create 3 firewall rules (permit IGMP for WAN-to-WAN, permit IGMP for WAN-to-LAN, permit UDP port 5050 for WAN-to-WAN), but as explained above I also had to disable DoS attack prevention on the WAN interface.
Luckily I have snort sensors on either side on the Zywall and was able to watch the effect of each change with tcpdump running on those interfaces.
I find that the streams usually fail to connect when I first try to view them. It takes a little while for the IGMP membership to filter through the various devices so that the modem starts receiving the traffic, and the media players usually timeout before this happens. If I retry connecting to the stream it will often work the 2nd or 3rd time. This can be a bit annoying.