next Air Video iPhone Application will have native support for connection over internet. The version has already been submitted to Apple for review. However in order to connect from internet your router must support UPnP or NAT-PMP so that Air Video Server can setup port mapping.
To test if your router supports that download last Air Video Server, go to "remote" tab and make sure "Enable Access from Internet" is checked. After that press "Test Connection" to see if Air Video Server was able to configure the port mapping.