Well that's the option on Linksys routers, I don't know about your router - it's possible it doesn't support this feature. You may have to use your imagination though and try differently named options that achieve the same result - any option to do with NAT for instance, eg. "Internet NAT Redirection" is another way of describing the loopback interface.

Fair enough... but let's remember you are the guy using link-local IP addresses on his internal LAN!