I believe RH comes with a built in graphical tool to control the Linux equivilent of a firewall (well it is a firewall, it's just on all flavors of linux basically). It's called IPTables. The front end (gui) for it might be in your Control Center if you poke around a bit. Look for things like "Firestarter", this is one of the better known ones. If you don't find one, you can always grab Firestarter from www.freshmeat.net
OR find it on your install CD's since it's likely there. You also have things such as:
shorewall... Well, actually look at the Linux - Security forum and the first thread in there has more than you could desire on information like this.