What is a firewall?
A personal firewall (sometimes called a desktop firewall) is a software application used to protect a single Internet-connected computer from intruders. Often compared to anti-virus applications, personal firewalls work in the background at the device (link layer) level to protect the integrity of the system from malicious computer code by controlling Internet connections to and from a user's computer, filtering inbound and outbound traffic, and alerting the user to attempted intrusions.
How do I get a firewall?
Windows XP has a built in firewall, all other OS’s need a third party software application from one of the major vendors (such as McAfee, Norton)
For more information: http://www.microsoft.com/security/articles/fwchoose.asp
Set up a firewall inWindows XP: http://www.microsoft.com/security/articles/use_icf.asp