I am running Mandrake 10.0, and setting up a firewall has been a real challenge to me. But in Mandrake 10.0 I started Mandrake Control Center, from the menu 'System' 'Configuration' 'Configure your system' (Hope its correct, I run the norwegian version). In Mandrake Control center i choosed "Security' and 'Firewall', where I could select which services are allowed on my computer. As I use my computer as a work station,I selected only 'mail-client' and 'pop-imail-client'. As opposed to earlier I have still access to the internet anf my mail, so I hope I am now protected from unwanted traffic.
I used Peer Guardian and Sygate on Windows. In Mandrake Control Center I chose "Security' and 'Firewall' and "Advance' and looked up and down the window but cannot find an easy way to import (via copy/paste or reading from a file ) a list of IPs to be filtered.
I use Shorewall (firewall) on Mandrake 9.1 on a Dell 3500 Inspiron laptop. Its very easy to configure (Mandrake Control Center ---> Security ---> Firewall ---> Advanced) and seems to be doing a good job. Shorewall is an 'iptables' (rule based) firewall that users can configure to their heart's content. The shorewall package is separately available, but if you install this package separately, it does not show up in the 'Mandrake Control Center'. I suggest that you use the Mandrake CD's to install it and update it. This will allow you to use the Mandrake Control Center to configure the firewall.