It blocks, logs, alerts, reports and forwards traffic as you please. The basic box is a firewall only, but you can buy upgrades to add VPN functionality, add licenses and also a new anti-virus scanning feature. There is also the Sonicwall SOHO Telecommuter, which supports only 5 IP address, but comes with the VPN feature. The initial setup is aided by a configuration wizard. Fill in the blanks as you go along with the wizard, and you should have a fully configured and working firewall inside of 10 minutes.
Management is done with web browser.
Simply enter the IP address of the Sonicwall box as the address in the browser, and you'll get to the management interface. If you're looking to something more difficult, a little planning might be in order. The logging feature will log any attempts at getting to your computer. If you have a syslog server, you can have the log-entries forwarded there. This option apparently provides more information than the internal logging.