To create a filtering firewall, you don't need any special software. Linux will do.
If you are using an older Linux kernel (1.0.x or older) you will need a copy of ipfwadm from http://www.xos.nl/linux/ipfwadm/
If you are using 2.1.102 or newer you will be using ipchaining as developed by http://www.rustcorp.com/linux/ipchains/
If you want to setup a proxy server you will need one of these packages.
Squid is a great package and works with Linux's Transparent Proxy feature. I will be describing how to setup this server.
AT the time of this writing, Network Associates and Trusted Information System's (TIS) , have merged. So keep watching their web sites for more information about changes. Mean while, the Tool Kit can still be had at. http://www.tis.com/research/software/
Trusted Information System put out a collection of programs designed to facilitate firewalling. With this toolkit, you set up one daemon for each service (WWW, telnet ect.) you will be using.