Some versions of Windows have their own firewall. If not, there are some freeware options out there. To me, the firewall is important for when you want to run backups or something where you do not want your computer talking to the internet. You can, of course, also get around this by just unplugging your internet connection if your pc is not on wifi. Most firewalls also work against ping attacks that can slow down your internet use by blocking unwanted attempts to contact your machine.
As for the VPN, it is an added layer of security that isn’t necessary but allows you to mask your IP address so it is more difficult for others to see who/where you are. Since I live outside U.S./Canada, VPN allows me to fake my location so I can access American programming not available where I live.
Thanks!