win 98 does not come with a firewall. But you may have your own 3rd party firewall such as avast or norton, etc.

But the problem might be with your modem/router. See this thread about tests you can do, enable UPnP on your connection device or manually port forward it if it doesn't have UPnP ability. Connection problems? Check here first! (click on link). With the exception of dial up, most modems & routers have internal NAT firewalls. And this is probably what LW has detected.