To set up port forwarding on a router, you first open the router's admin console by entering its IP address like 192.168.0.1 into a web browser. You then log in with the username, typically "admin", and password. Next, you navigate to the port forwarding section and enter the application name, ports to use, protocol (UDP/TCP), and the device's IP address. Finally, save the settings and potentially restart the router for the changes to take effect.