You're probably going to want to use a firewalling script as opposed to just setting up everything manually. I recommend IPKungFu (
http://www.linuxkungfu.org/) -- it's a great automated firewalling script that also helps you to configure your box to share your internet connection.
Another firewalling script that I've heard of, though never used, is FireStarter (
http://www.fs-security.com/). FireStarter has a GUI, so it might be a bit easier to use if you still haven't discovered the joys of the CLI interface