Under System prefs -> Security -> Firewall tab ... is 3 options.
1. Allow all incoming connections. (no firewall is applied except to suspicious items.)
2. Allow only essential services. (eg: updates, etc.)
3. Set access for specific services and applications. (programs such as LW.)

If you select option 2 or 3 you will see the + sign show. That's how you can add them. But my guess is yours is set to 1 so the firewall is not even on.

iinet do not block p2p.

The problem will be your billion modem.

You will need to log into your billion modem and turn on UPnP. If it has no such option then you will need to port forward. Try UPnP first and see how you go.

On my old mac, I had to turn Tiger's firewall off, else it clashed and blocked out my router's log page. lol I was unable to access the advanced pages.