"Now, in order to use it you'll have to upgrade to a
2.4.x kernel, and compile the support for iptables in it. So, go to
/usr/src and find your kernel source. Notice that the location may
vary, but in most cases it is /usr/src. By typing 'make menuconfig'
you can get to the options that are needed for iptables. Select all
neccessary, save changes and exit. From there it's pretty much the
same old story (make dep, make clean...). If you're new to kernel
compilation, you can read more on it in my older article, wich can
be found here.
Notice: use the latest version of iptables, which is iptables
1.2.2. Some older versions had some security flaws due to code
vulnerabilities. Newer versions have this bug fixed. Also, I would
advise you to frequently read news at the Netfilter homepage for
updates and bug reports.
If you're familiar with ipchains, you should be able to easily
manipulate the iptables syntax. If not, feel free to read