There is not enough information provided to tell.
What distro, what kernel?
What do these commands yield on the fw and the linux host?
ifconfig -a
route
arp
Can you ping to the firewall from the linux host and vice-versa?
Can you ping the WIndows box from the Linux host and vice-versa?
Do you have firewall rules that allow the linux box to leave the subnet?
What does lspci -vv say about your NIC?
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