Well, I don't think Mandrake has a firewall run by default, but check out IPTABLES - the unix firewall that comes installed.
Are all your servers running? Probobly, Mandrake loves to start services.
In the Mandrake Control Center, look for "Services" and disable all servers, Apache, Sendmail, SSH, BIND, portmap, etc.
If you want to check how secure you are, try using NMAP.
As root, type:
in a terminal. You may have to install nmap, it should be on your installation disk.