For some reason, Apple does not provide any information on the Mac OS X firewall. Usually people configure it through the Terminal (I don't know how), or through a graphical interface like
BrickHouse. BrickHouse is $25 shareware, the download link is at the bottom of the BrickHouse page.
Now with OS 10.2, Apple has included an interface to the firewall. I can't tell you much because I haven't used it yet (I don't have 10.2 yet).