This is basecly how to keep your host machine more secure, from attackers and those ppl. (This will not work if your using an dedicated server from a company)
What you need is:
Ipcop: Found at SourceForge.net: IPCop Firewall (Ah, the wonder that is IPCop... a free Open Source firewall you can run on 'junk PC' hardware.)
And ofcource an junk pc, 386 processor and 32MB of RAM is more than enough. And ofc you need an Ethernet card and a hard drive attached to it.
How to Install it can be viewed here.(Also more information on how things works)
http://revision3.com/systm/firewall/
Check out the documentation before you start, and definately take some time to check out the laundry list of IPCop Add Ons you can use to customize your IPCop installation with various filters, servers and (sweet!) OpenVPN.
I recommend you install this on a separate computer.
To those who probaly wounder, No i did not make that movie. I found it at revision3 while i was searching around google for it(And by it i mean the program).
The credits goes to Ipcop for making this program. And to Systm for making the how to video.