The first thing is to go to the "new" menu (next to the User/Standard drop down) and select "New Firewall" from the long list of entries. A new window will appear in which you will have four objects to take care of: Name of firewall, type of firewall, OS the firewall is running on, and if you want to use a pre-configured template of firewall rules. For simplicity's sake especially if this is your first attempt at building a firewall, go ahead and select the pre-configured template. You can edit the included rules later. I will name my firewall Test, for the purpose of this article. Select iptables as the type, Linux 2.4/2.6 as the operating system and I will select the pre-configured template to use. When you check the box for the pre-configured template, a new section will open up asking for the location of the template file. Stick with the default. Click Next to continue on.
The next window you see will be a multi-paned window. In the left pane you can select the type of firewall you want to build. If you click through the firewalls listed you will see that each one is either a different hardware configuration or for a different service. The first two templates are pretty basic firewalls that will service most single network interface machines.