I think you're confusing your terminology, if you want to setup a simple NAT router you do not configure a bridge.. also, pf is not a daemon it is the kernel packet filter.
If your modem is configured as a NAT router, assigning internal private RFC1918 addresses, then it wouldn't really make sense to have an OpenBSD system between them.. but if you did, a bridge would make sense as it would simply act as a switch or a hub.
Now, if your modem itself is in bridge mode, one of your interfaces on your OpenBSD system will have to obtain an external public address and routing information, for Cable this is usually done using
dhclient(8), for DSL you need to configure a
pppoe(8)/
pppoe(4) client.
At that point you would then need to configure OpenBSD for NAT and pass traffic between your network and the Internet, hosts inside your local subnet can be configured statically or by setting up
dhcpd(8).