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A firewall is a vital component in protecting a an individual computer system, or network of computers from external attack (typically from an internet connection). Any computer connected directly to an internet connection must run a firewall to protect against malicious activity. Similarly, any internal network must have some form of firewall between it and an external internet connection.
Ubuntu Linux is supplied with powerful firewall technology known as ''iptables'' built-in. Entire books can, and indeed have, been written about configuring iptables. If you would like to learn about ''iptables'' we recommend [http://www.linuxtopia.org/Linux_Firewall_iptables/index.html Linux Firewall Configuration - Packet Filtering and iptables].