What is a Firewall?
A Firewall is a piece of software (or a hardware network device) that isolates and protects your TCP/IP ports from nefarious activities on the internet. think of it as a way to keep people from accessing your computer over the internet without some degree of protection on your part.
On the Mac, it's built in (See SHARING Control panel -- which makes no sense to me why its on THAT control panel)
On the PC, you need to get one -- WIN XP SP2 I think has a built in one, ZONE LABS makes one, and there's about 2 doz more firewall apps for the PC. (which is what happens in the PC marketplace when MS dosent come out with a "free" one -- there's a lot of them out there - -some better than others).
Did that help?