If your looking for a free firewall (free as in liberty and in beer), then go check out Firestarter.
Its an Open Source easy to use firewall with GUI setup and admin.
Its simple to use and has many options. It even has Internet Connection Sharing similar to Windows XP.
If you don't feel comfortable reworking those IPTables rules, go download and install Firestarter.
Its great for laptops, desktops or servers.