When you leave your house, you lock your doors and windows, but even then a thief could break your windows to gain access to your house. With a security guard, thieves would have to get past the guard first before they could even try to break your windows.
Similarly, there are many computers on the Internet trying to gain access to your computer. This is called probing. Installing a firewall makes it harder for other computers to know if your computer has a "window" that can be broken into.
Also, a firewall works to prevent other computers from stealing data, such as your credit card numbers and passwords from your computer. Imagine that a thief has broken into your house and stolen some things from your house. A security guard would be able to stop the thief from running away with your things. Similarly, a firewall may help protect your data from being stolen.
General Information
Running Firewalls on Specific Operating Systems
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