The firewall is started in
/etc/rc.d/rc.inet2.
If you look at that script, you'll see that the executable status is checked. From the command line, with root privileges, you can type
chmod +x /etc/rc.d/rc.firewall. This will change the file properties to being executable. You can do the same thing through a file browser such as konqueror or thunar. Right-click on the file, and select Properties to toggle the executable bits.
For Slackware newbies a great place to auto-generate a firewall script is at Eric's (Alien Bob's) web site:
Easy Firewall Generator for IPTables.
If you want additional flexibility, perhaps the following will help:
A Flexible Firewall Strategy
