newbie firewall questions...

["Carl Wilhelm Soderstrom" <carls@agritech.com>]

        I've seen the discussions of how to do IP masquerading & IP
forwarding. I basically understand how a firewall works; what I need to know
is more about the specifics.
        which ports should I filter, and how? (I know, it depends on which
services I'm running from behind the firewall).
        what software do people use to monitor/configure their firewall, and
how well do they like it?
        A security guy I met at HPWorld said that he could break any
firewall out there with a program called "Firewalk". he seemed to say that a
proxy server would be much tougher, tho. what's the difference (in actual
implementation), and what software do people like for such things?

thanks,
Carl Soderstrom