I am using fedora Core2. What is the firewall called, and how do I interact with it (where are the files and what are they called?). I would like to play around and learn from it.

Linux uses iptables for firewall / ICS / port forwarding .....
If you open a terminal screen and type: setup, this will bring up a small setup menu. The second item on the list is Firewall configuration. You can use this for a basic firewall or you can add commands directly. I have a firewall script which has a bunch of commands already setup in it. Sometimes it helps to use a program like Firestarter or a script generator to get things started.
If you dig around on this site and / or google for linux iptables scripts, you should pick up a few tips.

yep coding a set of rules with iptables is pretty easy, at least for basic desktop firewalls.

True, Red Hat gives you that firewall "gui" and a slightly better one named gnome-lokkit (in X) but iptables should not be taken lightly. It is not as easy as you may think. Even a basic machine with a strong sense of security may have iptables rules that are pages long.

man iptables to begin with
iptables -L lists the filters table

Go to netfilter.org to learn the ga-zillion things that can be done with them.
At Carnegie Melon University (where CERT is located their firewall is
30 pages long at 7 point type and constantly grows.
I don't want to scare you, but just want to warn you. Do not take them lightly.

Download webmin from webmin.com and there is a pretty good GUI tool for building them