Firestarter is ok but really doesnt show/do more because its is just a GUI for iptables. Like the guys say, no real threats for Linux, just use a strong password and don't enable remote login (unless you need to ofc).
The default install of Ubuntu for example is 100000000 times more secure than Window$.
Bugs/security issues are normally patched very quickly anyway. Just be sensible and im sure you will be fine.