Firewalls can be in your PC, in your router, or both. If you don't have a router, then it won't be there.
Next you have to find out what your firewall software is. Easiest would be to show us a list of running programs. Hold down Ctrl and Shift, then press Esc. Let go. The task manager appears. Click the Processes tab. Hold the Alt key then press PrtScrn (Print Screen or some other variation). If you have a wacky keyboard like I do (Microsoft Media one), you might have to do something special (like pressing F-LOCK) to get PrtScrn to work.
Now click Start. Click Run. Type MSPAINT and press return. On Edit menu, click Paste. Now save the image on your desktop. Use the forum upload images feature to upload it. We can then look at the names and figure out what your firewall software is.
Alternately you can download a tool called HijackThis, which is used by experts to see what is running and what is installed in common places virii like to hide. Do a "System Scan and Save a Log" and then copy and paste the log here