Amazing how much information can be requested in so few words! Before installing a firewall, you needs to define why you need one. A sounds assessment of the threats and vulnerabilities to your systems should be done. This will help you determine what your risks are and what things you need to protect against.
Once you know what you are protecting and what you are protecting it from, you can begin to select the type of firewall that you need. Most, if not all, of the major firewall vendors have security engineers that will work with you to determine the right device to fit your needs. They can also answer your questions about what is needed for installation.
A typical installation has the firewall use an Internet addressable IP address, while the devices behind the firewall use private addresses. However, it does not need to be done that way, and you can find other Ask the Expert questions (and answers) that talk about those differences. There are also other questions that discuss the difference between proxy-based firewalls, IP filtering and stateful inspection. If you don't find what you are looking for, feel free to ask more specific questions.
For more information on this topic, visit these other SearchSecurity resources:
Ask the Expert: Dedicated vs. host-based firewalls
Ask the Expert: Firewall standards and products
Ask the Expert: How firewalls work
This was first published in June 2002