It is a little more comlicated to set up a bridge in linux than it is in Windows (read: you have to get into the terminal a little).
Basically, it boils down to this:
1. Install the bridge-utils package from your distribution. For instance, if you are using Ubuntu or Debian type 'sudo apt-get install bridge-utils' in the terminal or use Synaptic to install it.
2. The command 'brctl' is used to set up and configure the bridge.
There is a pretty good explanation of how to set it all up here:
http://linux-net.osdl.org/index.php/Bridge
Good luck.