Creating rules bare hands
A) Use the AtGuard default rules which blocks most of what out of your local net
B) Go to interactive learning mode in order to create rules to allow your softwares (web, mail, news, etc.)
C) To forbid ping ; create a top rule, important because rules are treated in the order they appears by AtGuard , "block inbound icmp echo request" ; you could also create two other rules "block outbound icmp echo replies" and "block outbound icmp destination unreachable"
D) Create a bottom rule that will block all inbound and outbound trafic with Udp and Tcp protocols. THis leads to block everything you didn't allowed.
E) Test your security using the online servers.
E) Follow the AtGuard newsgroup http://bulletinboard.atguard.com/ (section firewall).