Data flows into and out of devices through what we call ports. A firewall is what controls what is - and more importantly isn't - allowed to pass through those ports. You can think of it like a security guard standing at the door, checking the ID of everything that tries to enter or exit.

For most normal computers or home networks, the firewall should allow very little, if any, inbound traffic. There's rarely any legitimate reason for other devices to need to connect to your device, or home network, unsolicited.