As defined by Wikipedia, "a technological barrier designed to prevent unauthorized or unwanted communications between computer networks or hosts". It can be a physical device or piece of software.

Given the the real threat of people or malicious software trying to attack your network to iether steal information or bandwidth, I consider a firewall to be imperative. The problem however is that in order you implement a firewall properly you need to have a good understanding on how it works.

The simplest option would be to use [url=http://www.zonealarm.co.nz]ZoneAlarm's[/url] free version of ZoneAlarm.

Many home routers have firewalls built into them but as with all of the following options, they will require a certain level of expertise to implement and maintain.

If you have a spare computer (with two network cards) you can build your own using one of many free firewalls available. In the past I have used [url=http://sourceforge.net/apps/trac/ipcop/wiki]IPCOP[/url] which is realtively simple to use while being rock solid and dependable. Resently I have looked at [url=http://www.pfsense.com/]pfSense[/url] which has some great support for options like captive portals (for wireless),  or voip (for telephony connections) to name a few.

In short firewalls allow you to control what enters or leaves your network as well as monitor how it is used. I definitely recommend that you read up on various options and look to at least implementing one of the above options.