Mandrake does have a fairly easy NAT setup (you can even set it up with your mouse, if you want) and a firewall too. If you want a good doc, get the Mandrake handbook (its available from the contrib tree on any Mandrake mirror). Its quite comprehensive. Set up your sources with Easyurpmi
and don't look back. Two good things that keep Mandrake on my system as the "working" distro are Mandrake Control Center and urpmi, which makes rpms tolerable. You can also administer your system with Webmin as well. The hooks are good. You can make your system more responsive, of course, by turning off services like the new hardware detector and changing your display manager to XDM, just like with oter distros.
Slackware is a nice, responsive choice too, but it'll rquire more worl to get things configured.