Looks like that part of my answer in that thread was made kind of confusing by an edit to the question — I believe they’d originally been asking about whether they could use “yum install …” to install a firewall. (To which the answer was “no, yum is a Red Hat thing; this is Debian, so you use apt-get or aptitude.”) As far as port blocking goes, though:
We do block access to a couple of ports from outside our network, but for the most part everything is open. This is a good thing: the alternative of blocking some ports would be worse, since it’d mean that there would be certain network services that you couldn’t provide from our servers whether you wanted to or not.
Iptables firewalls, indeed, don’t work under the Linux-VServer virtualization software that we use. Sorry.
As far as port blocking goes, keep in mind that you don’t need to block a port if you never open it in the first place. Most of the ports that are open on a DreamHost VPS by default are services that you’re expected to want to have (e.g, a web server for your site, and SSH and FTP servers for administration). If you’re running additional services that you need to lock down, most servers have an option to bind them to a private IP (127.0.0.1, or your server’s internal 10.x.x.x address) to make them inaccessible from the outside world.