You've got a firewall; it's probably built into your kernel. It's called netfilter.
You can't directly control netfilter, but if it's not installed already you can install iptables which is used to control netfilter.
If you're not sure how to manage iptables (be careful, you can lock yourself out), you can install one of the available firwalls that simply control iptables. The easiest one to use which is discussed on these forums is KISS; search for it on these forums.
Jeff