A firewall is a protective filter that stands in front of your website and checks everything trying to reach it, letting normal visitors through while blocking anything that looks harmful — like automated attacks or attempts to break in.
Picture a security guard at the entrance of a building who waves in regular guests but stops anyone acting suspiciously. A firewall does the same at the door of a website: it inspects each request and turns away the dangerous ones before they can do any damage.
A firewall is one of the main defences against Malware and break-in attempts. It works best alongside other basics like an SSL certificate and regular Backup, so the site is both hard to attack and easy to restore.