most people are behind a firewall that's hardware based, we call it a NAT, it's part of a router and some modems
your software firewalls(there should only be one, never 2) grant exceptions to software that needs to communicate with the internet
your nat is another story
portforward
http://portforward.com/helps set up routers
BE WARNED! P2P is a dangerous place, most users trash their computers quickly and end up clogging sites like this with their problems
forward ports opens your computer up for attacks/hacking