Basically firewall protects your server from being attacked or hacked.

You could head over to site like these that teaches on how to set up a firewall:
Firewall and Proxy Server HOWTO

are you asking about firewall for home pc or server

csf is best for server but all software level firewall only

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In simple firewall protects your system from illegal or unauthorised websites or persons :)
It is already installed in your PC :)

Firewalls provide protection against outside attackers by shielding your computer or network from malicious or unnecessary Internet traffic. Firewalls are of 2 types which we are being used from small network to large to prevent unnecessary traffic or access. It could be either a software or a physical hardware attached to network.

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A firewall can keep away evil intentions Internet traffic, such as hackers, worms and certain types of viruses, before they pose problems for the system. In addition, a firewall can prevent participation in an attack on another computer without user knowledge or intention. Using a firewall is especially important if the protected computer network or are connected to the Internet.

A firewall is a hardware or a permanent filter that monitors and data transmissions made between your PC and Internet or local network, to implement a "policy" (methods) filter. This policy could mean:
protect network resources from other users of other similar networks, all interconnected by links or WAN and Internet. Potential attackers are identified, their attacks on your PC or local network may be terminated.
control of resources they have access to local users (on the LAN).

One of my all time favorite Firewalls is called Zone Alarm, which is free to use and does the job very well.

Norton and Mcafee also both offer pretty decent Firewalls as well, but they will cost money and really aren't any better than Zone Alarm.

I use Comodo, its a pretty good firewall and its free too.

I have never even heard of Comodo before, but what can you tell me about it?

You said it is free, but is there any sort of official website for it where I can read about it's features and such?

Simply explaining, firewall can be definied by a guard of your computer from attack (hacking, cracking, etc). I'm use firewall from window operation system. It's satisfying me enough.