To install Firewall protection for a secure WiFi connection, you havee to go through these methodologies.
1. change the settings of your Computer networking
There, first Enable your firewall option, mainly for the public networks. Though, Windows will by default enable it if you choose the option during the set up itself, but even then to make sure if it's on, go to the Control Panel, then click on the Windows Firewall, and watch if your screen appears to be like the one I have attached.
2. Turn off the sharing option
For the network settings you want to change, go the Control Panel and select Network and Sharing Center. There click on the "Change private advanced sharing settings" in the left panel.
From there choose the Private, Files and printer sharing, both Guest and Public, and turn off the network discovery. Don't forget to click on the Save changes option before leaving the page. It is advisable that you turn off file and printer sharing as well.
3. Keep updating your software
The most important is to keep updating your antivirus and malware protection along with your operating system. These system updates help keeping your system running smoothly, and blocks out security holes. Though 100% security cannot be guaranteed on the internet, but levels of security surely save you from huge damages.
As I said, Windows itself has its own firewall system, but yes, a branded antivirus would be really useful if you can avail. But you need to keep updating it in regular intervals.