Hi Omar,
Firewalls does not act against malware. If it itself is not taken out by malware, it can block the connection some malware makes inbound or outbound, and can help in this way to suspect malware activity. There are other tools for that too, learn how to use netstat from Command prompt e.g. nestat -a netstat -an to see what connections are made from your machine. The main detection of this malware is done by a good resident AV product, like our AVAST is. A program like System Safety Monitor can warn you when programs behave in a way they are not supposed too. In this way you can have an indication too. Special anti trojan software, and A-squared is a good solution, can be a welcome addition in finding trojans and backdoors. But the best defense against infections of this nature is and will always be "A good working human brain".
greets,
polonus