Your computer's firewall should be turned on, especially when using it, working online, downloading stuff, or using file-sharing software.  If your Mac has a firewall, it should automatically be turned on. The firewall should always be on unless you know what you are doing. That said, some Mac users turn their firewall off or leave it on 'never' because they do not know what they are doing. But leaving your firewall on 'never' is dangerous. Your Mac's firewall should be turned on at all times.