Firewall is software /hardware that helps users from any unknown potential dangers over the net such as hackers and DoS attack and also prevent many types of trojan attacks. Although it is "Not Advisable" to turn off your firewall, there may be times when you do need to enable/disable it as required. The windows firewall is only available in system which have windows XP or above system , you may not find windows firewall on older systems like windows 2000.
Like Advised before "disabling of firewall is not recommened" . Still, if you got to disable windows firewall, please make sure to download a 3rd party tool for firewall which work equally good .Below are links to some good free firewalls.