Iptables is the program that creates, manages, etc, your built-in firewall, netfilter. Netfilter is built right into the kernel, and it is the actual firewall. Iptables sets the rules, etc. Problem is, for most new users, using iptables directly is a daunting task, so many other programs have arisen that manipulate iptables (and thus netfilter) for you.
Mandrake 9.1 came with shorewall. I use it on my linux boxes because it is simple, well documented, and it's what I used first. It just consists of a few text files, of which you will only have to modify a couple. Basically, you just type in some text and the program reads it on start up and passes the rules to iptables, which passes it to netfilter.
The other program mentioned above (firestarter) is another iptables manipulator. I have heard many good things about it and it has a gui, if that is what you want.