Firestarter is pretty well know as a way to set up your iptables (firewall), but the general consensus now is that ufw (uncomplicated firewall) is better (don’t ask me why :p ).
Ufw needs to be configured using the cli (check man page) but some kind soul made a good GUI for it.
Download it here:
I’m using it myself and see why people prefer it to firestarter.
Before someone asks, once configured it will stay that way, so you don’t need to be running gufw on your desktop all the time!