You don't understand. Port forwarding is something that happens when you route traffic on your internal network. In simple terms, you have some kind of device (like a router) that sits between your home network and the Internet that acts like a traffic cop. Computer A requests a web page and the router itself makes the request (on port 80 for http) and then routes that data back internally to you. This usually works by default. Computer B is trying to play Saints Row 2 though and requests data on port 4200. if uPnp isn't turned on (and it usually is by default on most home gear) then you would need to manually specify in your router config that all traffic coming back in on port 4200 needs to be redirected to your specific PC.
In simple terms, port forwarding is simply sending data back and forth over a certain port to a certain specific PC.
A firewall on the other hand, blocks traffic on certain ports. I have seen quite a few modems you get from ISPs that have really shitty firewalls enabled by default, and that might be the problem. Windows also has a built in firewall that often doesn't act like you would expect, so you may need to define a rule to allow traffic on port 4200 too.
The problem is that there a massive amount of different hardware out there, and we have no way to tell you specifically what you need to do to fix it. Now that you know these basic facts, you will need to find and read the documentation for your hardware and try to figure out what the heck is actually going on. Your goal is two things:
1. Configure your router to forward traffic on port 4200 to your PC. Routing may be a feature of your cable modem, especially if you're sharing your connection with multiple PC in your house.
2. Open up port 4200 on cable modem's firewall (if applicable) and in your Windows firewall as well.
You may also want to test disabling your firewall(s) completely, and/or trying to forward/open the list of ports from the FAQ that someone posted earlier. Usually just 4200 is fine.