To recap what others have said, if your computer is behind a router with a secure firewall of it’s own, then there really is no need to setup a firewall on your computer.
However, if your computer is a laptop and you plan to use the internet from a public WiFi source, then yes in my opinion you do need to have a firewall in place.
Gufw is a GUI front end for UFW (Uncomplicated Firewall), both of which are included with Ubuntu Mate.
As @Swart has pointed out, the documentation for GuFw is located at
https://help.ubuntu.com/community/Gufw
The documentation for UFW is located at
https://wiki.ubuntu.com/UncomplicatedFirewall
If you are a normal user, you will be safe with the default settings in Gufw, which is Incoming=Deny, Outgoing=Allow. Start Gufw from Control Center > Firewall Configuration, and turn the Status On. At this point the firewall is up and running, and you are fairly well protected.
If you use P2P applications a rule will have to be created that allows incoming traffic for them, or they will no longer work. However, this is where you are starting to compromise your firewall. Anytime you create a rule to allow traffic in, you are increasing the chances that someone may exploit it. Only you can decide if it’s worth the chance that a exploit will not happen.
You can also use GuFw to disallow all incoming and outgoing traffic, and to create a set of rules to allow only what is necessary on your system, based on opening ports per each service, and if possible to a specific IP address. This is a advanced approach, and not relevant to the question at hand.