Firewall using LiveCD Linux...how?

Hi all, I would like to use a Linux LiveCD version to use as firewall. My "little network"(two PCs) is:

1- A PC connected to internet by an ADSL modem via USB. 2- Another, just another, PC connected to the first one via Ethernet card

From this link

I have found some interesting versions, but I would like an "easy" adsl modem configuration, and an "easy" setting to share internet connection with the second PC.

I have seen in this list as LiveCD: Devil-Linux, Gibraltar Firewall, Linux LiveCD Router, redWal Firewall and Sentry Firewall CD. Can someone suggest me a linux distro?

Best Regards