Hello exaudio,

the "Host is behind firewall" switch is for running Phex in LANs without direct internet access (only via proxy) and without public IP address (e.g. 192.168.*.*) no one could connect to from the outside. You don't need to check this switch if you can configure your router to forward requests to your machine.
1) So you need full access for outgoing connections to all IP addresses and ports (you can limit access to the common gnutella ports 6346 and 6347 but some ISPs are blocking them).
2) You also need to forward incoming connections to your phex listening port to your local machine.
If you conntect to the gnutella network with this configuration you won't need to enable a proxy and get outgoing connections (if not, something went wrong with point 1), then you should see your routers IP address within phex connections tab. After a while incoming connections should appear (if not, 2 went wrong and you should check the "Host is behind firewall" box to tell other users not trying to connect to you).

Helge