You don't need to install any Firewalls if you use Windows XP or higher operating system. They have a built in Firewall. Anyway if you expect a better protection you can select a new Firewall and install it. There are several commercial Firewall products are available which you can use at your convenience.

But you have to consider whether it wills suit you or not. Because they may further slow down your computer.

Absolutely firewall acts as a protection system preventing any viruses or related programs attacking your PC. It filters all the data comes to your PC through the Firewall so viruses can't attack your PC.