Question: How does the Firewall work? What does it do when I connect to the Internet?
Answer: A personal firewall is complementary to Anti-Virus software. They perform different functions and have different goals.
Anti-Virus software checks for viruses attached to emails, web pages and other files you download.
Firewall software blocks hackers trying to gain entry to your machine. It checks all data that passes in and out, and if this data does not comply with a set of rules, the transfer is blocked. It also makes your computer less vulnerable to attack in the first place, by disguising the communication ports in your computer.
When the Firewall detects something attempting to pass information either in or out, a pop-up window will appear. This pop-up will ask you to either allow or deny access. If you trust the application (your Browser), then you should approve and select do not ask again. If you do not recognize the application in question, you should deny the attempt and the Firewall will prevent that application from passing information from your computer to the Internet.