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There are several sources that can help you in your effort to learn. The fact that you are searching and looking to teach yourself about setting up a firewall is great. Too often there's a rush for a cookie cutter answer to eliminate the effort to really learn about the technology involved, and that often leads to many mistakes.
To help guide you in you learning I've listed some books that should be helpful (this is by no means a complete list but some that I'm familiar with). I suggest you sneak a peak at these whether at your local bookstore, or through an on line book service before purchase so you can see which is a best fit for you. Good luck, and remember with technology changing so fast learning is a constant process in networking.
The following are recommended:
"Building Internet Firewalls, 2nd edition" Zwicky, Cooper and Chapman from O'Reilly publishing.
"Firewalls 24Seven, Second Edition", Strebe and Perkins from Sybex
"Internet Security and Firewalls" Preetham from Premier Press.
"Firewalls: A Complete Guide" Goncalves, from Computing McGraw-Hill.
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