does linux come with a firewall installed? - YES

Linux uses the ipfwadm, ipchains and iptables utility tools to configure firewall functions in your dedicated linux server. these utilities are designed for the 2.0.x, 2.2.x abd 2.4.x kernels. usually you wouldnt be concern with today's kernels as it covers the latest kernels. there are many ways you can configure your firewall, you can configure it manually, through a GUI or with the assistance of a website. there are many websites available that teach you how to configure your firewall in linux. one example is http://www.linux.org/docs/ldp/howto/Firewall-HOWTO.html