Supposedly my AT&T modem (BGW210-700) doesn't support UPnP. How do I open my NAT?

It's not "supposedly".  AT&T Gateways, the BGW210 included, do not support the insecure UPnP protocol.  If you want to allow UPnP to open up your network, then you'll have to get a third party router that supports it and configure that router to work with your BGW210.  Alternatively, if you can determine which ports and protocols need to be routed to your gaming console or PC, then you could set up the appropriate Port Forwarding.