Never Installed a Firewall on Ubuntu? Try Firestarter - The Community's Center for Security
http://www.linuxsecurity.com/content/view/142641?rdf

Firestarter is a friendly graphical interface that allows you to configure a software firewall in Linux using the built-in IPtables/IPchains utilities. It is an open source GUI firewall program. The software aims to combine ease of use with powerful features, therefore serving both Linux desktop users and system administrators.

firewall