Hi.
I can't speak on the Mandrake firewall tool, but I can recommend "shorewall" (shorewall.net).
They probably both manipulate the iptables utility anyway, but shorewall gives you limitless configurations instead of the four or five you see in distro firewall tools like those in Redhat (and probably Mandrake).
Also, you can go with manipulating iptables yourself <shudder>. I wouldn't recommend