There are several things you should check assuming your Linux IP Masq box already has proper connections to the Internet and your LAN:
Make sure you have the necessary features and modules compiled and loaded. See earlier sections for more details.
Check /usr/src/linux/Documentation/Changes and make sure you meet the minimal requirements for the network tools installed.
Make sure you followed all of the tests in Chapter 5 of the HOWTO.
You should use ipfwadm to manipulate IP Masq and firewalling rules. If you want to use IPCHAINS, you'll need to apply a patch to the 2.0.x kernels.
Go through all setup and configuration again! Usually, it's just a typo or a simple mistake you overlooked.