Are you sure?
Because running the script only means that the firewall is on.
You shouldn't see anything. Firestarter will not start, but your firestarter rules are operating.
To check, run status for that script:
/usr/local/etc/firestarter/firestarter.sh status
It will tell you whether the firestarter firewall is on or not.
Also, type (as root):
iptables -L
That should give lots of firewall rules.
If it's NOT working, the iptables command will only show you this (with no specific rules for input and output):
Chain INPUT (policy ACCEPT)
target prot opt source destination
Chain FORWARD (policy ACCEPT)
target prot opt source destination
Chain OUTPUT (policy ACCEPT)
target prot opt source destination
Then, when you need to monitor the firewall events or to make changes to your policy that's when you run firestarter from the icon (and put in your root password).
You close it again, but the rules are operating in the background and after you reboot they're always there, protecting your machine.
(another possibility is that you need to write "sh /usr/local/firestarter/firestarter.sh start"... check the command in a terminal and see if you need to write sh before or not).