Firewalls are programs (or hardware) that keep things from getting into and out of our computers without our permission. Although there are a lot of security programs that include a firewall, there are plenty of stand-alone programs too.
Basically, whenever we are connected to the Internet, we are exposing that fact to whomever may be looking around. Our computers all have a unique Internet Protocol (IP) Address that identifies our computer. This is like our home's street address. In most cases, our IP Address is used simply to let a Web site know where to send the information we have requested when we go to that site.
It is possible to run a scanning program that looks for active IP Addresses by pinging them. (Ping simply sends a 'hello' message to an IP address and waits to see if there is a response. If there is, that means the computer at that IP Address is online.) Once a person knows that an IP Address is active, they can run other programs that look to see if the computer at that address has any security holes that can be attacked. Firewalls (in their simplest form) prevent the ping from ever getting a response, so the scanner does not see an active computer at that IP Address.
Firewalls also help protect us when there is a nasty on our system that tries to make contact with a web site wihout our knowing it. The first time a program tries to access the Internet, the firewall will alert us to that fact, and offer a choice to allow it access or not. In most firewalls, if the program is a recognized Internet application (like Internet Explorer or an e-mail program) we won't see that warning. But if the program has been changed since it last accessed the Internet, the firewall will flash the alert again. This is to prevent a virus or worm from attemting to masquerade as a legitimate program and spread itself without our knowledge. If we have updated a program, it is OK to let the 'modified' version access the Internet.
Different firewalls have different features, and it is best to try them out to see what works best for you. The basic features that all firewalls have are:
Some firewall programs allow explicit site blocking (which can be handled in Internet Explorer's Internet Options), cookie blocking (which can be handled in Internet Explorer's Internet Options), spyware detection and more, but that all gets into the realm of other programs that are designed to do one thing and do it well.
It is up to you to decide what you want in a firewall, and to see what some of them can do I will recommend the following free programs:
