You need to use the full path.
For example, you have a script called initFirewall.sh
In the /etc/rc.d/boot.local
file, you would add the full path to the script
Do the same for your script.
$IPTABLES -F INPUT
$IPTABLES -P INPUT DROP
$IPTABLES -A INPUT -s myip -p tcp --dport 110 -j ACCEPT
Also, does your script have the #!/bin/bash
at the top.