You need to install the software for a firewall so that it can be active at all times and will help protect your computer from potential hacks. To download the software, you would go to your browser and type in "Windows Firewall." You'll then see a download link with an installation process. You'd have to enter in your password before downloading the software. Once installed, it will walk you through further steps of setting up rules and deciding what types of connections should be allowed through the firewall (such as internet or file sharing).