I think you have to install the development files for iptables. They will be in a package from your distribution called iptables-dev [.rpm/.deb].
Are you sure you want to compile PeerGuardian on your own? There are already precompiled .deb-packages in this forum, you can find them
here. If your distribution is based on debian packages you can install it with "dpkg -i [packagename]". But I think there are also converters if you can't use deb-packages.
Greetings
jre
PS: Or look at this thread:
"Installation problem libipq.h - ideas?".
PPS: I speak German if you need further help.