Cheers Jamie for those comments.
Linux is just a hobby, The main stuff I do know is Nokia Fw1 and Cisco PIX's boxes + Solaris 8 & Oracle.
Basically all the stuff the banks use to secure there systems.
Linux is slowly getting more installations in the financial arena, so it's useful to get into something like redhat if you want to be paid more money in London.
Chris,
I would use a Linux OS with a 2.4.x Kernel, like Redhat 7.1
Then you could set it to act as a router for you and carry out NAT for your Windozes boxes with something like IPTABLES.
If you set it up correctly it's as good as a full blown firewall hardware solution.
Never heard of Mandrakes Single Network Firewall, normally it's better to not use these sort of things as they will make assumptions for you and if you want to learn start from scratch using the tools that come with the software.
Also if your using NAT you don't need a Proxy.
/Raz