At first check that you have Antivirus software installed on your computer. Some Antivirus have built-in Firewall protection. But some Antivirus only protect you from virus.
You may think why you need a firewall?
Answer: Antivirus software only protects you from virus. But a Firewall Scans traffic passing through it and denies or permits applications based on rules. Someone can easily connect to your pc and can steal valuable information.
Now Software developers are making Antivirus programs with built-n firewall. For example: Kaspersky Antvirus and kaspersky Internet security is not the same. One without firewall and another with firewall protection. If you brought ony antivirus software then you need a firewall to protect your pc.
You can try free Firewall software:
Comodo Firewall : I used Comodo with my antivirus And it helped me a lot to protect my pc. Download personal Firewall ver. It also protects you from spyware, malware worms etc.Here you can get more info and download link. Comodo website
ZoneAlarm : And Another Firewall ZoneAlarm
Install Firewall on you pc and configure it in your way. And have better internet experience.