Iptables is THE Linux firewall. Firehol is "an iptables stateful packet filtering firewall builder for Linux", as it is mentioned on its site. This means that firehol lets you configure iptables in an easier way. So you must edit the configuration file.
sudo gedit /etc/firehol/firehol.conf
There you must have something like
server "ping" accept
See this link for more help
Setting Up An Iptables Firewall On Ubuntu With Firehol | HowtoForge - Linux Howtos and Tutorials
Since you are a new user, i suggest you uninstall firehol and install firestarter, which has a gui and is easier to use.
sudo apt-get remove firehol sudo apt-get install firestarter