Try using IPTABLES. you can find tons of examples using google.com

http://www.netfilter.org/projects/iptables/index.html

The shorewall (Shoreline Firewall) application is my personal choice for turning a Linux PC into a firewall. It internally uses IPTables, but it puts some nice configuration files around it so you can more clearly specify what you want without fighting so much with the various iptables command-line options.

[url]http://www.shorewall.net/[/url]

As for Fedora, the biggest problem with it (as a firewall) is that is only supported for 13 months (2 releases plus a month of extra), which means that even today, only Fedora 11 and 12 are supported, and as a firewall, having security updates available for the OS seems like kind of an important thing.

I think CentOS [the open-source version of RedHat Enterprise Linux], which is very similar to Fedora from a configuration/available-software perspective, might be a better choice, as it will be supported long after even Fedora 12 is ancient history.

[url]http://www.centos.org/[/url]

Good Luck!

I would recommend shorewall too:
http://www.shorewall.net/

As the other have stated you can use a gui app like shorewall or write a custom iptables script your self using the cited tutorials.

The reason that Andrea is recommending against using fedora as a firewall is because it is a full featured OS that requires many program that are not used and may contain vulnerabilities that can compromise the firewall function. It is recommended to use a basic firewall or router centered distro instead so only the necessary applications are install, effectively limiting your potential for exposure.