You're on the right lines yes
I don't know about Mandrake specifically, but you *should* have iptables support built into the kernel by default.
You may *not* have iptables turned on. I know Redhat, out of the box, uses ipchains.
Iptables and ipchains don't live together nicely. If you have ipchains running and attempt to start iptables it'll complain that it can't insert a hook and 'your kernel doesnt' support iptables'.
Which it does. But its kernel space has already been usurped by ipchains.
So, turn off ipchains.
chkconfig -del ipchains
then service iptables start
chkconfig -add iptables
You'll need to add various iptables rules. And there are *hundreds* of how-to's on how to do this. Look on freshmeat for 'jay iptables' and you'll get one of the more popular config programs.
I do it by hand, because um.. I'm anal like that, but your problem is that you're not routing packets from your internal to your external interface.
You need to do this :
echo 1 > /proc/sys/net/ipv4/ip_forward # Enable IP masq
$IPTABLES -t nat -A POSTROUTING -o $EXTIF -j MASQUERADE
change your external / internal interface numbers accordingly.