After starting KMyFirewall I can click any button on the red window or do anything else. Whats wrong?
You have most likely run ./configure with the wrong (or no) arguments, and therefore KMyFirewall didn’t install properly into your system. Please have a look at the sources for the KDE packages your distribution has made. There (on RPM platform in the *.spec file, on Debian in the debian subdirectory) you should find the right list of arguments you need for your distribution.