If the firewall is host based (like ZoneAlarm or Norton's) then no. If one machine gets internet through the other and the firewall is "networked based" then yes.
And to put the understanding of firewalls in the simplest of forms: they are hardware/software-based rules that determine whether packets are allowed in or not. Think of them like a police officer that directs traffic and says all red cars are not allowed forward (red cars are evil things).
But you should go through the tutorials that are here, check existing threads through the nifty search function and read the FAQ. It's not being said to annoy you but to help you down the road. :D
