A firewall is a barrier between your computer and the rest of the internet, there to make sure you are as safe as you can be from hackers, worms, viruses and all the other nasty people and programs out there.
In real life, if you look at the roof line of a row of terraced houses you will often see them, sticking up a few bricks above the tiles between each house.
A firewall on a computer does the same job, and if you have a broadband connection to the internet then you need one for your own protection.