Try bastille.

apt-get install bastille then follow the destructions.

I also had to

apt-get install pert-tk

to make it work.

After you install bastille you need to reboot (unusual in linux) for it to work.

Bastille teaches you about security while you go through the steps to set up the firewall.

After you install bastille or guarddog or your choice of firewall I recommend you go to:

www.grc.com

and give it the Shields Up Test.

Mine worked (after I rebooted bastille)