Hi,
Welcome to D-A-L.
I dont know a great deal about networking but a firewall should stop people getting access to your network and make it more secure.
To protect your network, right click the network icon in the system tray and click open network connections, this should open a window with all your network connections, right click the network you want to firewall and click properties, go to advanced and where it says windows firewall, click "settings" in the general tab click the circle next to "on- recommended" go to the exceptions tab and check each box next to the programs you want to allow to connect to your network/the internet.
Hope this helps,
Mike