What is and why do we need a Firewall?
You will always come across malware throughout time in the world of computers, so you need to be ready when it happens. Don't let them in in the first place.
A good Firewall is your first line of defence, which is often forgotten about. It is literally like a wall, if you have no wall at all, anyone can stroll in. If there is a wall but it has big holes in it then someone might sneak in. But if your wall is solid and has an Antivirus looking at anything that comes in and out, it makes it much harder in comparison for malicious software.
A firewall is a piece of software that manages the allowing and blocking of ports. That is the most basic thing it is meant to do. If an application wishes to go through a firewall it has to go through a specific port, some are set based on what it wishes to do like port 80 for http traffic and others are set by the developer of the software. These ports can be anything as long as it is not one of the preset ones.
So with this we have firewalls. It can allow a port to be used by only one application, one direction and one protocol if needed. The rules can be strict or loose, obviously with stricter rules the safer the wall is but you have to be very sure you are not blocking something you wish to allow. With loose rules more things can go through including bad traffic.
A good way is to block everything and then allow what you want through, this helps to avoid anything you forgot about to leak through as the default is denied.
There is a firewall built into Windows but it is generally better to get a commercial one, it doesn't have to be paid, there are some good free ones:
ZoneAlarm Free Firewall
Both Zonealarm and Comodo have paid versions of this software that contains deeper protection with added products.
Another good firewall is Agnitum Security Suite. This is a good firewall but can be very weak. It is a technical program and if the rules are not set correctly then it will not do you much good, but if set correctly it is very good.
Agnitum Security Suite
A good way to test for small leaks is to use GRC.com LeakTest
It is a small program that tests for leaks in the firewall and lets you know. It is an old program for it is not a foolproof test as was released in 2005.