You have to create the rc.firewall using "iptables" commands. You can get an automatically generated rc.firewall file at this link: http://connie.slackware.com/~alien/efg/
. You can then later on customized it to your needs. One more thing: you have to chmod +x the rc.firewall once you placed it in rc.d. For a secure setup, also make the file readable and writable only for the user root.