I like http://www.devil-linux.org/ it run from a cd so if some one changes any setting you reboot and it back to the original config.
My friend uses http://www.turbolinux.com/ for his.
There are many other linux dist. designed as firewalls you can find most of them http://www.linux.org
The dist. homepages should have all the docs you need to setup a firewall.
Hope this helps