Here's the settings for OSX's firewall: OSX Firewall settings for Tiger. Tiger's firewall settings is only slightly different to Panther's. You will need to add the settings yourself.

Do you see a brick-wall in front of the blue world icon at the bottom of LW's interface? If yes, then you do have a firewall problem. It may be OSX's firewall or else, it may be your connection device. Most high speed modems & routers have internal NAT firewalls. We'd need to know the brand & model of your device to help here.

Your user account is here: OSX HDD -> Users ->User Account Name