I am not sure about Commodo firewall, but history has shown many firewalls clash with each other. Unless Commodo specifically says it can be run with Windows Firewall enabled without side issues.

You can try giving Phex a little help with a fresh connection file but this might not be your problem. Download the zip file attached and unzip, place the Phex.hosts file into the following folder location:

For Windows XP:
C:\Documents and Settings\Account Name\Application Data\Phex
Windows 7 and Vista:
C:\Documents and Settings\Account Name\AppData\Roaming\Phex

By default, the AppData folder is a HIDDEN folder so you need to change option to show all hidden files & folders before you use the search function. If Phex does not connect the first time after you changed the connection file, close Phex and re-open and you should have better luck. This is a larger than normal connection file, so if you cannot connect with it, then the problem is with something else. Either router or ISP perhaps, or a security software you have forgotten about.

Phex must be closed when you change the connection file.

(I tried the above connection file out on my Windows which has no UPnP support due being on my mac with no direct connection to the router. Always the second start got Phex connected.)