Actually BloodRaven,
Mandrake 9.0 ships with Squid proxy server and Shorewall firewall. If your new to linux then I would focus on the firewall for now. Squid is awesome but the firewall will do what your asking and doens't have as steepe as a learning curve compaired to learning squid.
Mandrake 9.0 comes with an Internet connection sharing service/"statefull firewall" that will allow you to do what you want. This automates most of the setup for you. I don't recommend doing it this way because it try's to turn the linux box into a dhcp server and automates to many things to keep track of and also has an older version of shorewall when installing from the Mandrake 9.0 CD's.
I highly, highly recommend downloading the latest shorewall/firewall fresh from the shorewall site in rpm formatt if you don't no how to compile source code that is. They also have tar.gz source as well. Right now its at version 1.4.6b. I think Mandrake 9.0 ships with 1.4.2a. Allot of things have been added and fixed since that release. If you choose to go this route then make sure you get familar with their site and get joined upto the mailing list right away. They have awesome documentation and an awesome/helpful mailing list. The moderator "Tom" (the guy that writes shorewall) kicks butt and is usually very responsive. Make sure to read first before asking something that might be covered on the site though. If you've read and are unsure of what to do then email the list letting them know that.
The firewall is called Shorewall Firewall. Located at
www.shorewall.net.
Please don't do this

but....
If you want Mandrake to set everything up for you (could end up being very frustrating) then in Mandrake click on the Mandrake Control Center (System Configuration Tool) You will prompted for the root password.
Goto "Network & Internet" and click on "Connection Sharing", a wizard will open and ask for input....You will then need to goto the shorewall site and read the documentation for the "two interface setup"
Good luck and I hope this helps.