To understand how a firewall works, you also need to understand how a network connection works. Today most computers use TCP/IP for network communications. TCP/IP is a communications protocol for formatting and transferring data within a network. As suggested by its name, TCP/IP is comprised of two key technologies: Transmission Control Protocol or TCP and Internet Protocol or IP. IP provides an address for each network device that permits routing communication between source and destination. Among other things, TCP provides port numbers that specify what service or program the communication is intended for. Port numbers can be any number from 0 to 65535. Additionally, TCP breaks up communication transmissions into data segments called packets. 

With each communication, the data package contains the receiver's IP, the port number of the program or service, and the status of the connection. This applies to both incoming and outgoing communications. Although only one wire connects your computer to the network, that connection can carry of 65,536 different actions concurrently.  Without a firewall these ports are open, meaning other computers can send information into any port on your computer and your computer will respond.