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 are compiled and loaded. See earlier sections for details.
Check /usr/src/linux/Documentation/Changes and make sure you have the minimal requirement for the network tools installed.
Make sure you followed all of the tests in Chapter 5 of the HOWTO.
Make sure you are using the proper firewall tool for you kernel be it IPTABLES, IPCHAINS, or IPFWADM.
If you are doing PORTFW functionality, make sure you use the correct tool for your kernel version. IPTABLES has everything built-in, IPCHAINS requires the use of IPMASQADM, and IPFWADM reaquires the use of IPPORTFW or IPAUTOFW. This is completely covered in Section 6.7.
Go through all setup and configuration again! Usually, it's just a typo or a simple mistake you are overlooking.