I followed the tutorial and getting following logread:

Jan  1 00:00:20 (none) user.info : iptables: No chain/target/match by that name
Jan  1 00:00:21 (none) user.info : iptables v1.3.3: recent: you must specify one                                              of `--set', `--rcheck' `--update' or `--remove'
Jan  1 00:00:21 (none) user.info : Try `iptables -h' or 'iptables --help' for mo                                             re information.
Jan  1 00:00:21 (none) user.info : /etc/firewall.user: 22: --name: not found
Jan  1 00:00:21 (none) user.info : /etc/firewall.user: 23: SSH_BRUTE : not found
Jan  1 00:00:21 (none) user.info : iptables v1.3.3: recent: you must specify one                                              of `--set', `--rcheck' `--update' or `--remove'
Jan  1 00:00:21 (none) user.info : Try `iptables -h' or 'iptables --help' for mo                                             re information.
Jan  1 00:00:21 (none) user.info : /etc/firewall.user: 25: --name: not found
Jan  1 00:00:21 (none) user.info : iptables v1.3.3: recent: you must specify one                                              of `--set', `--rcheck' `--update' or `--remove'
Jan  1 00:00:21 (none) user.info : Try `iptables -h' or 'iptables --help' for mo                                             re information.
Jan  1 00:00:21 (none) user.info : /etc/firewall.user: 27: --name: not found
J

The \etc\firewall.user looks like:

root@OpenWrt:/etc# cat firewall.user
#!/bin/sh
# Copyright (C) 2006 OpenWrt.org

iptables -F input_rule
iptables -F output_rule
iptables -F forwarding_rule
iptables -t nat -F prerouting_rule
iptables -t nat -F postrouting_rule

# The following chains are for traffic directed at the IP of the
# WAN interface

iptables -F input_wan
iptables -F forwarding_wan
iptables -t nat -F prerouting_wan

### Open port to WAN
## -- This allows port 22 to be answered by (dropbear on) the router
# iptables -t nat -A prerouting_wan -p tcp --dport 22 -j ACCEPT
# iptables        -A input_wan      -p tcp --dport 22 -j ACCEPT
iptables -t filter -A input_rule -i $WAN -p TCP --dport 22 -m recent
--name SSH --rcheck --hitcount 3 --seconds 120 -j LOG --log-prefix
"SSH_BRUTE "
 iptables -t filter -A input_rule -i $WAN -p TCP --dport 22 -m recent
--name SSH --update --hitcount 3 --seconds 120 -j DROP
 iptables -t filter -A input_rule -i $WAN -p TCP --dport 22 -m recent
--name SSH --set -j ACCEPT





### Port forwarding
## -- This forwards port 8080 on the WAN to port 80 on 192.168.1.2
# iptables -t nat -A prerouting_wan -p tcp --dport 8080 -j DNAT --to 192.168.1.2:80
# iptables        -A forwarding_wan -p tcp --dport 80 -d 192.168.1.2 -j ACCEPT

### DMZ
## -- Connections to ports not handled above will be forwarded to 192.168.1.2
# iptables -t nat -A prerouting_wan -j DNAT --to 192.168.1.2
# iptables        -A forwarding_wan -d 192.168.1.2 -j ACCEPT


Who can help me out...?

Thank you Macsat...
I was so stupid using cut and paste... Always remember that if you copy and paste you will/can get some ^M chars between it.

Due to these chars you don't see it did not work.