I'm guessing you used the example as-is with the -A, in which case the rule got appended to the end (not really what you want). Sorry for my very poor examples.
How to change really depends on what firewall you are using. Some commercial products do not allow the change at all. Most open source firewalls such as BSD PF do. Prepackaged open source firewalls such as Monowall, generally do not with out a ton of work.
reply to Zydaco I don't know of a doc off-hand, but I'm sure a Google search for iptables reject drop will give you more than you want to sift through. I'm not trying to be difficult -- if I knew of a good doc I'd happily post it.