David Mair has published a simple Linux firewall configuration tutorial. He will walks you through the creation of a simple iptables firewall explaining how it works along the way.
From the article:
Most major Linux distributions, SuSE ones included, feature some user interface for firewall configuration. There's nothing wrong with them but I couldn't get quite the configuration I wanted and chose to create configurations manually. The iptables man pages are really a documentation of syntactical detail of the iptables command line and don't provide guidance on composition of a firewall from a series of rules. There's a lot of scattered information about iptables that can be found using your favourite search engine but none of it quite taught me what I needed to know. In the end I figured out what I needed using a Vmware virtual machine running SuSE Linux Pro 10.0. The following is offered as documentation of simple firewall configuration using iptables. Verifying that the resultant firewall adequately secures the relevant hosts is left as an exercise for the reader.