A Firewall is a legitimate program designed to observe incoming and outgoing data online. The firewall is the main factor in either allowing or denying access to your computer, along with allowing or denying information to go from one computer to another, or through a network.
Think of a firewall as being a bouncer in front of a party door that thousands of people wish to go through, but only a select few are allowed to (Legitimate traffic and data). The rest (Illegitimate or malicious traffic and data) are denied access by the bouncer.
With your computer, you should receive a free firewall that you never necessarily have to replace. However, there are available firewall solutions online that can be just as good!