A personal firewall is another way to protect your computer. You may not be aware of it, but your computer is communicating or listening on a large number of network ports. These ports are affiliated with specific services that your computer either uses or provides. For instance, in order for you to look at this web page, your computer is allowing tcp traffic on port 443 (this can be changed, but the default port for HTTPS traffic is port 443). If you were to block port 443, you would be unable to view HTTPS web pages. However, certain programs shouldn't need to communicate via that port. For instance, Notepad should not need to communicate across port 443. If it attempts to do so, that might be a sign of a problem with your system. In addition to monitoring communications from your computer, a good firewall will also monitor communications directed towards your computer.
A good personal fireawll will allow you to identify which programs are communicating via the network, as well as what ports and protocols they are using.
If you have Windows XP SP2 or later, you already have a personal firewall. You can access it by opening the Security Center (Start > Settings > Control Panel > Security Center). If the personal firewall is active, you will see an image similar to the one below.
If your firewall is turned off, you should turn it on. To do so, click on "Windows Firewall", click On (recommended), then click OK.