Well, I can think of better places to ask this question but maybe you could provide a little more information. Like what distribution you are running, your kernel version, was "iptables" included in your distro or did you download/compile and try to install? The first thing I would check is the suggestion that is in the error message, that is, are the kernel modules loaded?
You should be able to do a /sbin/lsmod and it should list two iptables modules (among others, at least it does on my system):
iptable_filter
ip_tables
If they aren't loaded have you tried to load them?:
/sbin/modprobe iptable_filter
And first but not last, RTFM:
www.iptables.org[ January 29, 2002: Message edited by: VoidMain ]