Thank you Michael and Norrie for your respond and links. Regarding the firewall stuff I have read on the internet, the ideal configuration is to use a firewall in a separate box between the internet conection and the DMZ, and another firewall box between the DMZ and the internal LAN. Also all the servers conected to internet should not be installed in the same firewall box. This is because in case the web server or ftp server etc was hacked this will not compromise the firewall and the LAN security.
First of all let me say that I love the SME server; this wonderfull piece of software reach all may networking requirements. The big advantage of having all the solutions in one box is wonderfull for home or small office use, but when you need to increase the security of the LAN, all in one box not sounds like a good idea, so I am traying to find a solution of this configuration with IpCop (or smoothwall) and e-smith.
Marcos