What is your Operating System (OS) ?
If you don't know what your firewall is it is likely that you haven't installed one, so you could be using the one with the OS or perhaps was on your system if a new one. But you are looking for the Windows Security Center or Vista Security Center, etc. that should tell you what firewall you have. You may have a firewall icon on your notification tray next to the clock.
It doesnt have that name you said on there. So what do I do?
What is it that you are looking at ?
The file name I gave is the avast Web Shield provider.