Hi Boris
A firewall is a good idea,
but I also wouldn't be worried about the messages you described in your first post on here as I think they were probably a very annoying advertising ploy that I have seen before several times.
Many companies have automatic adverts that pop up when you open certain webpages, most of them are obviously adverts and do not look worrying, just annoying. There is a computer security company (can't remember which one cos their ads annoy me so much I close them without reading them properly

) who use this method to pop up ads with dire looking warning messages in an effort to get you to buy their firewalls etc etc.
Firewalls are a good idea, but these ads really annoy me as they genuinely worry people like yourselves and I think are unethical.