Sorry, maybe my last question didnt exlpain myself:

You can either have a dedicated server and install all the appropriate firewall software on it. Remembering that you will also need to know how to harden whatever operating system platform you choose.

Or, now you can purchase appliance firewalls which are like little boxes, which come preconfigured and prehardened. So with a little configuring of routes and interfaces, you can just plug it in, and away you go.

If you are comfortable with linux and have some understanding on hardening a linux box, you could have a shitty old server running ipchains or iptables. Very cheap, and if set up correctly and used to its full potential, very secure. On the other hand, if you prefer a lovely GUI interface, and you couldnt be stuffed hardening a server, you could get something like SmoothWall. It has a nice GUI, easy to use, and you download an image of the OS, so to some extent, it is prehardened.

Or if you are concerned about warrenties, support etc.. and you want to spend up on a product. Checkpoint is the market leader, and their firewalls are pretty good.

But in the end, its your call.....