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Interestingly enough, the phone has a sort of built in firewall (NAT) when using Internet Connection Sharing.
You get a 192.168.1.x IP (so, possibly using NAT), even cooler is that it supports UPnP port forwarding (at least, the applications I were using were able to open ports).
(Of course it could be just forwarding all ports to the computer and just replying OK to any UPnP request).
USBmodem supports Linux, so you could probably use a Linksys (or similar) router with USB port and third party firmware (like OpenWRT or HyperWRT, etc.).
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