Are you the only user of this computer?
If not, ask the other user(s) about what firewall is installed.
If you're the only user, then it's unlikely that you have installed a firewall without knowing it.
What OS do you have? Windows XP? If so, and you have Service Pack 2 installed, then you would have Windows Firewall on your computer.
It's never a good idea to get rid of a firewall because it helps keep you protected.
What programs are being blocked? With a little more info, perhaps we can help you understand how to use the firewall so you can allow certain programs to run.