As the usage of SDN is growing at rapid pace, we need security mechanisms to secure SDN networks. The security mechanisms can be implemented by creating firewall, IDS, IPS applications. In this paper, we have created SDN Firewall using POX controller. Whenever we are using firewalls, by default these firewalls are not going to do anything on their own. We need to configure these firewalls. The firewalls can be configured according to different strategies such as whitelisting, blacklisting and passthrough. In Whitelisting, default configuration is to deny everything until something has explicitily not permitted. It provides increased security and is the most preferred method. On the other hand, in Blacklisting, default configuration is to permit everything until not explicitly permitted. Passthrough means everything is allowed, very less used. Our firewall uses simple user interface which gives you the choice to select the strategy which can be blacklisting, whitelisting or pass through according to your needs.