Install a firewall

In the broadest terms, a firewall is a filter that selectively discards packets based on source or destination IP and/or port number. At least a basic firewall is an essential component to the security of any machine or network.

Different versions of linux use different tools to manipulate the firewall code in the kernel. Kernel 2.0.x uses ipfwadm. Kernel 2.1.x and 2.2.x uses ipchains. Kernel 2.4 and later uses a new infrastructure called netfilter, with the companion userspace program iptables. Information about these can be found on the netfilter pages, which accidentally also contains massive amounts of usefull information and documentation of firewalling in general and linux firewalling in particular. Go there, you won't regret it. At LDP there's also a nice howto on filtering and firewalling.

Another site, submitted by koyote is Linux Firewall and Security Site.