You don't need a separate directory to run iptables.. I suppose you want the script to start at boot-time right ? Well all you have to do is put it in /etc/rc.d
or in rcX.d where X is whatever runlevel you want the script to start with.
Dont forget to start the script with
and change its permissions to execute
chmod 700 <name of file>
Hang in there mate, Chris and I are working on the definitive iptables tutorial to ever hit the net. When its done it will teach you how to do anything from building a simple personal firewall using iptables, to a fully NAT-ed, corporate firewall with a DMZ etc.