Difference between USB modem and NAT

[Zino]

I debug a special application which I develop in an environment of Win XP
and Messengers (of both kinds MSN and Windows Messenger). My debug tools
fail to works when PC's are connected to the internet with router and NAT
but work fine if the connection is by mean of a USB modem(the applications
themselves work fine).

Is there any difference from the Messengers point of view, between the 2
modes? I mean do they use different functions internally?
(I prefer to ask regarding the functions rather than to describe the debug
tools which are very uncommon).

Thanks in advance

Zino