Yes, I know I could always apt-get GuardDog or something, but I'm looking to learn about how to set up iptables here, so hear me out.

What I have done is stuck a symbolic link in the /etc/rcS.d directory "S09iptables" and linked it to /etc/init.d/iptables

iptables doesn't work (there are no rules), and I'm not sure where iptables expects a file to be for it, or what it is looking for exactly.

Can anyone help me out here?
And can someone stick a firewall in Knoppix by default for HD installs?