The firewall is called NetFilter. It is in the kernel, so you do have it. The rules for the firewall are added with the iptables command. Most distro's have a firewall configuration tool to make it easier to configure it.
There are also packages that do the same thing, with a graphical interface.
This Ubuntu wiki article explains the ufw program to configure your firewall and also suggests other firewall configuration packages you might want to use instead: