Fire Wall

I depends on what you want it to do. Do you understand what a firewall is for? I would suggest reading a bit more first as GOOGLE will direct you to the information you need. Hardware ones in routers tend to only stop traffic coming in. Software ones can stop traffic going out too, handy to stop spyware and programs calling home. Zone Alarm is good enough.

Both.

Both.

As noted in another response, they have different strengths and weaknesses.