I use a hardware router with NAT and some firewalling capabilities and iptables, though you might want to check out Guarddog and Bastille.

What is the file to edit for iptables ?
Depends on how you set it up. I have it in /usr/bin/firewall.sh .
Here's some links to firewalling:
http://www.linuxguruz.com/iptables/
http://www.netfilter.org/documentati...entation-howto
http://www.rexx.com/%7Edkuhlman/iptables_install.html
http://www.simonzone.com/software/guarddog/
http://firestarter.sourceforge.net/
http://www.bastille-linux.org/