In the off chance somebody comes here looking for a little info:
Well a firewall is a software or hardware device for managing connections into and out of a network or PC. This device fallows a set of rules either predefined in the device or that are setup by the user (or some combination of both). These rules say basic things like ignore un-requested packets on port 80. A collection of these rules makes up a basic layer of security. There are many useful free firewalls for windows and *nix users. Searching AO should provide tons of valuable resources.
Here are some threads you may want to take a look at:

Iptables Tut
http://www.antionline.com/showthread...hreadid=230338

Firewall Overview
http://www.antionline.com/showthread...hreadid=258944

Windows XP Firewall info
http://www.antionline.com/showthread...772#post759772