You have to turn on IP-forwarding.
I've set up on a RedHat Linux forwarding firewall. The steps to archieve the forwarding are the following:
1/ Make a kernel that supports IP-forwarding.
2/ echo "1" > /proc/sys/net/ipv4/ip_forward.
3/ Use the package ipchains and execute the following commands:
ipchains -P forward DENY
ipchains -A forward -s 192.168.2.0/24 -j MASQ
192.168.2. is your internal network (netmask 255.255.255.0). Keep in mind that if you choose another netmask, you also have to change the 24 to something else.
You should also check some HOWTO's on firewalling. They give a very good explanation on this.
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