If you have a router providing your internet connectivity, it probably has a built-in firewall.  Windows too, of course, has its own firewall.  Between them, they ensure that a hacker who tries to connect to your computer via the internet won't be able to get in.  The firewall will simply discard their request, or even pretend that your computer simply isn't there.

But how can you test that your firewall is working?  The answer is to perform a port scan.  This means that you need to persuade another computer on the internet, outside of your own home or office network, to try connecting to your IP address on all the common ports (or channels).  The simplest way to do this is to employ the services of a free web-based port scan too, and one of the simplest ones can be found at www.ipfingerprints.com.  Select the Check Open Ports from the menu on their page, and then enter the IP address of your router (assuming the system hasn't already worked it out and typed it in for you).

Next you'll need to select a range of ports.  From 1 to 1024 should suffice.  Ignore the warning that the range is too big - it should be fine.

After 20 seconds or so, you'll see the list of ports which appear open and which your firewall is not blocking.  Unless there's any reason to have them open, such as because you're running a game server, they should all be closed.  If not, time to start investigating why, because you don't want any open links from the internet into your PC without good reason.

In addition to the port scan facility, www.ipfingerprints.com offers some other useful tools.  It'll show you a map of where an IP address is based, and will also show you lots of information about any domain name you care to type in.