Check if you have a file called /etc/init.d/firewall, if so, then you probably have a default firewall script runnning. Alternatively, run lsmod | grep iptable in a console, if you get output, then you are running a firewall. You can edit the above mentioned file (although this may vary from distribution to distribution.
If you do not have a firewall set up, use a tool like Firestarter to generate firewall rules.