This is not a simple install - you MUST be prepared to use the terminal! Follow this guide to the letter:
https://sourcedigit.com/16618-install-c ... u-systems/ - replace SSHGuard with 'sshguard' - no capitals in Ubuntu based applications - only Home folders! 
After installing SSHGuard whilst still in terminal, enter:
sudo apt-get install iptables-persistent
[Source: Making your install more secure - Old Zorin Forum archive ]