Using a startup script found at http://www.sns.ias.edu/~jns/security...up_script.html. The problem is that the log messages for the firewall are all going to the console and not the messages file. Where should I start looking to find out what is going on?

I would look at the default start-up script and figure out where it handles logging, and change the script to match the default logging settings.

Have a look at /etc/syslog.conf

SNIP
# Log all kernel messages to the console.
# Logging much else clutters up the screen.
#kern.* /dev/console
kern.=info /var/log/info
# Log anything (except mail) of level info or higher.
# Don't log private authentication messages!
*.info;mail.none;authpriv.none;cron.none;kern.!=info /var/log/messages
/SNIP

Mine logs to /var/log/info

Comment out the /dev/console line as above
Add a line for /var/log/info
Change the line for /var/log/messages to include kern.!=info as above
Change your iptables script -j LOG rules eg
iptables -A INPUT -p tcp --dport 10000 -j LOG --log-prefix "Webmin " --log-level 6
to make sure messagaes are logged at level 6 = info.

Restart syslog, 'service syslog restart'