Here are a couple of very informative videos which explain the basics of building a firewall in Linux using IPTables. These videos are more useful for a system administrator than for the end Linux user as it involves using the command line.

More over, modern Linux desktops like Ubuntu do not require a firewall as they ship with all the outgoing ports closed by default. But in the event you are required to build a custom firewall, the following videos will definitely help in getting you up and running.