In SuSE 10, by default the firewall is enabled for all interfaces, which should include your modem.
If you want to test this out, go to
https://www.grc.com/x/ne.dll?bh0bkyd2 and you can run a test on your ports.
If you want to configure things in more detail, as root, type in 'ip address show', and your modem address and name (likely to be ppp0) will be echoed to the console.
You can then use this interface name in the firewall configuration in YaST - if it's not in the list of interface names, just type it in anyway. (This approach worked for me in 9.2, so I assume it will be similar in 10.0)