I have downloaded backrack linux 5 R2 but when i try to configure my firewall i dont find a place where i can do that, i only find proxy settings, no what is a proxy, is it the sam as a firewall. how can i set up my proxy to protect me more from hacking attacks, at the moment it connects directly to the internet, and if it doesnt have a firewall, where can i find one.

Thanks...

Iptables.
If you don't have that, try "apt-get install iptables"

But you have to manually configure it, and the syntax is best found on the internet.

I am no expert, but, open a terminal and type (ufw enable) this is a root command so sudo if added user if you need a more graphical one look for gufw and firestarter in the synaptic.