Sorry this such a newbie question. I'm turning on the firewall from the system preferences, but is there anything that should be check to be on? Or should everything be blocked?
Nothing needs to be checked unless you want to do something that is listed. If you are not sure turn them all off. If later you can't do something you want to do check the list again or ask here. Also turn off "open safe files" in safari and Autocomplete in any browser.