A firewall is a gatekeeper for your computer's network traffic. It watches the connections trying to get in and out and decides, based on rules, which ones are allowed. Think of it as a security guard at the door of your computer, checking who's permitted through.
What it protects against
The main job of a personal firewall is to stop unwanted incoming connections — a program on your computer being reached from the internet, or a bad program trying to phone home. By default, most connections from your computer to the outside (like opening a website) are fine; it's the unsolicited incoming ones that a firewall watches.
You already have one
Windows Defender Firewall is built into Windows and is on by default, which covers most home users well. You don't need to buy a separate firewall just to be safe — a good firewall plus a good antivirus is plenty for everyday use.
Firewalls and the router
Your router also acts as a firewall for the whole household (it blocks unsolicited traffic before it reaches your devices). So your computer is actually protected by two layers: the router at the door, and the firewall inside the PC.
When you'll see it
If you install a program that needs to accept network connections (a game, a server, a chat app), Windows may pop up asking whether to allow it on private and/or public networks. That prompt is the firewall asking permission. Allow it only if you actually want that program to accept connections.
You don't need to configure a firewall for normal use — just make sure the built-in one is on. Turn it off only if you're told to do so for a specific, known reason.