Fire wall for Ubuntu 10.10

No; applications should not be listening for incoming communications unless configured to do so. Windows' firewall programs are designed to add a layer that blocks incoming communications to programs unless allowed by the user, to prevent programs surreptitiously listening for incoming messages.

The package manager is designed to ensure that programs are trusted, and thus should not be opening back-doors into your machine.

That said, if you must run a firewall, you can. There is the UFW program to do this:
https://help.ubuntu.com/community/UFW

I see nothing gained by running this, and it will often interfere with legitimate communications.