The quick answer to your question would be "read more!" There are lots of great books on the topic of firewalls and related security systems and devices out there. That said, I'd urge you to consider the following titles as among the best on this topic:
Elizabeth D. Zwicky, et al: Building Internet Firewalls, second edition, O'Reilly & Asociates, 2000, ISBN: 1565928717.
Keith Strassberg, et al: Firewalls: The Complete Reference, Osborne McGraw-Hill, 2002, ISBN: 0072195673.
Stephen Northcutt, et al: Inside Network Perimeter Security..., New Riders, 2002, ISBN: 0735712328.
Wm R. Cheswick and Steven M. Bellovin: Firewalls and Internet Security, Addison-Wesley, 1994, ISBN: 0201633574. (An oldie, but a goodie.)
Also, please consult my two articles on InformIT entitled "The computer security bookshelf," parts one and two. To find them, visit www.informit.com, then use "tittel security bookshelf" as your search string in the search window. This should produce direct links to both articles, which will help you identify the best and brightest books and writers on the topic of information security in general. Enjoy!
For more information on this topic, visit these other SearchSecurity.com resources:
Executive Security Briefing: Keeping current on security issues (while still having a life)
Quiz: Security basics
This was first published in August 2002