A fire wall is there to prevent unauthorised access too your system. If you go to
This link you will get more info on firewalls in general.
There is a free version, the one I use
somewhere on this site but they also have a pro one if you want to shell out.
I have been using Zone Alarm since a co-called associate surfed a porn site with out my consent, and it placed a piece of spyware on my system to steal my Credit card details.
I ended up having to speak to the fraud department when they used my card details to use an "adult" internet chat service