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1) any available professional firewalls will work with mandrake
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There is no other firewall than netfilter (= iptables). Other firewalls are just wrappers around it. I hand-code my firewall without any wrapper around!
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2) iptables is the linux version of ipsec. Its firewalling built into the kernel
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I'm sorry but this is totally bullshit. IPSEC has nothing to do with netfilter.
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3) Not at all. but it is best to limit the amount of pings people can do onto your box.
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Ping is the smallest problem. You should check for port scans, etc. If you want to take a look at my pretty nailed down firewall check
this thread!
If you would like to get more information about firewalling maybe it's time to check the
netfilter homepage!