A firewall is a software or hardware device that sits between your computer and the internet, and protects you from internet based attacks such as worms and other port based mal-ware. This step of security is especially important to users with broadband connections (wireless, dsl) as your computer is always online, and thus open to attack more frequently.
There are 3 different ways to meet this security need. The first is prebuilt into Windows XP, and is a good choice: the windows firewall. To enable the windows firewall,

The second option, if you don't have Windows XP, or would rather use a firewall that gives you more control over what programs can access the internet and when, is a third party software firewall. At Fairnet we recommend ZoneLab's ZoneAlarm (Download).
The third option is only available to broaband users. If you currently have your PC connected directly to the internet (directly to the wireless radio or dsl modem), you can instead use a router. Aside from allowing you to hook up more computers to the internet, the router runs NAT, which is a form of firewall, and protects your computer from the same attacks a software firewall does.
If you are having difficulty getting the windows firewall to start, or having an issue with a third party software firewall, bring it in to our office. We can perform a basic security audit of your machine, and make sure some form of firewall is running.