cybermike_dk,

There are actually several howtos for iptables.
do a search in google for:
advanced routing howto
iptables howto
packet filtering howto

of course this requires a net connection, so you may be SOL on that, since you stated you have none.

However if you have iptables on your machine, then you should have the man page for it too.
That will show you the command options and arguments. However it is fairly limited on explaining the concepts behind the options, so you learn the syntax from the man pages, but possibly not the concept, or practical application if it.

of course that is dependant on how good you are at trial and error, and improvising. :]

netbivedu,

The only firewalls I have ever seen in use in win systems are Zone alarm and black ice, as far as I can tell they work pretty good.

but the others are right. Having a separate firewall box is generally better than simple software firewalls.