Firewalls and Your VPS
IPtables is the firewall interface to the Netfilter packet filtering system used in the Linux 2.6 kernel. This is used by default in the VPS and is readily accessible from SSH using a command like:
iptables -A INPUT -s hostname -J DROP
You may notice when accessing the Virtuozzo Power Panel that there is a Virtuozzo Firewall that can be enabled. Do not enable the Virtuozzo Firewall. It will block you from accessing cPanel and WHM. The Virtuozzo firewall loads a set of pre-defined rules into iptables, and will disable the ports allowing access to cPanel.
If you want to use iptables to block access from an IP address (say, an annoying member of your forums, or some site hotlinking to a video file), you can use the following cheat sheet for assistance: http://newman.mcmaster.ca/mt/doas/archives/2006/09/blocking_hosts.html.
Other Firewall Software
There are firewall software front-ends to iptables that are designed to make it easier to implement firewall rules (such as blocking hosts).
Advanced Policy Firewall is commonly used, and replaces a command like
iptables -A INPUT -s hostname -J DROP with apf -d hostname
Configserver Security and Firewall is developed at ConfigServer Services, which offers third-party cPanel management, support, and development. Installation and configuration of these on your VPS is not supported by A Small Orange. If you elect to pursue firewall management, this will require a willingness to learn advanced server management.