Connecting to the Internet without a firewall is like leaving the keys in your car with the engine running and the doors unlocked while you run into the store. Although you may be able to get in and out before anyone notices, someone may take advantage of the opportunity. On the Internet, hackers use malicious code—such as viruses, worms, and Trojan horses—to try to find unprotected computers. A firewall can help protect your computer against these and other security attacks.

So what can a hacker do? It depends on the nature of the attack. While some attacks are just nuisances that may play simple pranks, others are created with malicious intent. These more severe strains may attempt to delete information from your computer, crash it, or even steal personal information, such as passwords or credit card numbers. Some hackers enjoy nothing better than breaking into vulnerable computers. Viruses, worms, and Trojan horses are scary. Fortunately, you can reduce your risk of infection by using a firewall.
Internet firewalls: Frequently asked questions
http://www.microsoft.com/athome/secu.../firewall.mspx

Why you should use a computer firewall
http://www.microsoft.com/athome/secu...wbenefits.mspx