The name 'firewall' comes from a wall used in early automobiles that kept
engine fires from reaching the passenger compartment.
A firewall on your PC does the same thing, except instead of keeping fire out, it keeps hackers out. It also lets you know if a hacker is testing the ports (doors) on your PC to see if he can gain easy entry. If any are unprotected he is in, just like that!
Firewalls also let you know about unauthorized outbound messages from your PC. If spyware has been placed on your PC without your knowledge it can send information found on your PC to a remote web site in an e-mail.
DON'T let hackers get in through open ports on your PC. An open port is just like an unlocked door in your house. Anyone can come in, friend or foe! Unprotected ports make every file, account number, password stored on your PC accessible to the hackers!
Zone Labs makes a product called ZoneAlarm. There are free and purchase versions. The free version gives you a firewall. The other enhanced options.