There are three basic configuration settings you can choose.
The high-security option blocks all incoming connections to your machine except for a few basic services which you get to select. This gives maximum coverage for security but will stop IRC DCC sessions completely and ICQ from working without a proxy. It will also affect ftp and realaudio , although these can be set up to work in this mode via the preferences dialogues. It will also be likely to affect Quake.
The low security mode screens only system sevices (including your X windows sessions and NFS) from the outside world. This will not generally interfere with other facilities such as ICQ and Realaudio.
Selecting this will do exactly what it says: it will turn the firewall off, leaving you unprotected. There may be times when you want to do this. These might include:
You want to test whether a problem is related to your firewall or not.
Your machine is no longer connected directly to the net: perhaps a newer machine is now the firewall.
Selecting this option will take you to the Activate Firewall page to confirm it. You will not be asked any other questions.