I have been working on this same problem all night. I have just found out what the problem is. The disk images, I downloaded and used just two days ago, are Debian. But it turns out that this new disk image does not have a 2.4 kernel. Instead it has a 2.2 kernel which does not support iptables. This was very disappointing to me. I have spent a whole night working on setting up a system with the newest version of the OS just to find out it is not the newest version of the OS.
Not only does it make our industry, as a whole, look unprofessional, but it makes each of us working in this industry lose credibility. How does this set apart the systems that we are trying to build in Linux from other OSes? I now have to download the update image and see how this will install what I hope is a new kernel. Otherwise I am going to have to find out which kernel I need and do an apt-get on that exact kernel and install it my self.
In short I think it was stupid that the new CD images did not install the newest kernel. I would hope that in the future these PR issues would be looked at. If Linux is going to move to the next level, it is going to have to find a way to show medium and smaller businesses how there is a great return on the investment of Linux. What has just happen to me, and most likely you, does not help prove the lower cost of Linux.