I tried again, now with Dan's image (dhcp fix for X-modem CE).
Now the m0n0wall connect directly to the modem, doing the nat.
Still not working - m0n0wall blocks the outgoing connection.
I know there is issues with tftp over nat - but it's working
great if I connect my pc directly to the router (Siemens 5830).
You can test it easily, using the following command:
tftp -i 126.96.36.199 get testfile
(small test file - only 10kb, with m0n0wall you will get timeout)
Thanks in advance,