First off, when I say rc.firewall-*, what I really mean is to use one of the various types of firewall rulesets depending on what kernel version you're running. Your options from this HOWTO include: rc.firewall-iptables or rc.firewall-iptables-stronger or rc.firewall-ipchains or rc.firewall-ipchains-stronger or rc.firewall-ipfwadm or rc.firewall-ipfwadm-stronger.
Next, how did you put the rc.firewall-* onto your machine? Did you cut&paste it into a TELNET window, FTP it from a Windows/DOS machine, etc? Try this.. log into your Linux box and run "vim -b /etc/rc.d/rc.firewall-*" and see if all your lines end in a ^M. If they do, delete all the ^M and try again.