Rules are what define how a firewall acts regarding packet types, ports, and other network traffic. IP Tables is what is being controlled, firestarter is a frontend for IP Tables. IP Tables work from rules, when you create these rules in firestarter, the changes occur at the IP Tables level. So, when you 'setup' firestarter you created rules, or rather, Firestarter created rules based on your responses.
Depending on which router you are running you may have a good setup. I run DD-WRT on a WRT54G and it had a lot of options. I eventually turned towards Smoothwall on a dedicated system to do my firewalling, but the DD-WRT was a good option for the "small blue box" I was using before then.