According to this Mikrotik Wiki page...
http://wiki.mikrotik.com/wiki/Securing_your_router
/ ip firewall filter
add chain=input connection-state=established comment="Accept established connections"
add chain=input connection-state=related comment="Accept related connections"
add chain=input connection-state=invalid action=drop comment="Drop invalid connections"
I'm just wondering why there is no NEW connection state?
Because you do NOT want to accept NEW connections! You only want to accept connections that you initiate from your network. That is how a SPI firewall works. If you send a request to the internet for something, then when it comes back it is "established or related", so it is allowed through. But, if something comes in that you did not request, then it is "new", and you want to block those!
Also, you should do those same 3 rules on the FORWARD chain as well.