How do intercept internet packets?

Hi all,
In my app, I would like to intercept all incoming packets, check what they contain, and be able to drop them or let them pass... I would like to do something like a firewall... But I don't know how to do anything of this!!!

If someone know the APIs to call or even give me a code snippet, I would be very glad.

Thanks in advance,
b@ckflip