iptables. and i don't think it does. it's meant for pentests, not for every day use.1, Whats a good firewall to use on Backtrack if any?, Does it really need one.
yes, there is. not for download, but for install/remove packages. look at the slackbook to find out.2, Is there a tool like Yast which lets you selected programs to download etc
as you talk about yast i think you come from the suse linux section. slackware is also linux, but it's different. linux != linux. (linux is not like linux in a different distro. so read it, you will find many answers there.