Just to be sure, check the specifications of the cable router/modem you're using. The setups vary, though getting either without a built-in firewall is now pretty rare.
You may have a combo modem-router, which is what most are. Or, possibly a modem and router separately.
A modem only is just that. It connects you to your cable (or DSL) service and that's it. These devices typically only have two ports. One for the incoming phone line or coax cable, and an Ethernet WAN port to connect the modem to a separate router with an Ethernet cable. Some cable models skip the incoming port entirely and connect to your service via wireless to the nearest cell tower.
The modem may or may not have a built-in firewall, but often not as they expect you will use a router that does have one between you and the outside world. Connecting a modem only directly to your computer works, but if the modem has no firewall of its own, then you have no choice but to turn the OS firewall on.
The above is not as typical. Most services provide the user with a combo unit. The obvious clue it's also a router is they all have at least two Ethernet LAN ports on them to connect your computer and devices to.
You can also normally access the modem or combo unit settings in your browser. Almost all newer devices have built-in web pages for the settings. Somewhere in there you should find a page for the firewall settings, such as this one for a Motorola compatible modem/router you use with Xfinity/Comcast:
