It looks like your kernel is missing some Netfilter features.
You need the Xtables support, as Fabio pointed out. However, you need the xt_conntrack feature as well. It might be compiled as a module, so that entering the command you wrote should load it. But in some cases, you'll need to load it by yourself so, before going further, try
# modprobe xt_conntrack
If it doesn't work, you'll have to recompile your kernel to enable it.
You can find the option here:
│ Depends on: NET [=y] && INET [=y] && NETFILTER [=y] && NETFILTER_XTABLES [=y] && NF_CONNTRACK [=y]
│ -> Networking support (NET [=y])
│ -> Networking options
│ -> Network packet filtering framework (Netfilter) (NETFILTER [=y])
│ -> Core Netfilter Configuration
│ -> Netfilter Xtables support (required for ip_tables) (NETFILTER_XTABLES [=y])
If you're not familiar with kernel building, you might want to have a look at the book at http://www.kroah.com/lkn/ which explains all you need to know from the start in a very clear fashion.
(I know this is a bit late to answer. Still, I've faced the same issue today so I thought it might help someone someday.)