Comodo Firewall monitors incoming and outgoing internet connections from your PC to make sure that legitimate traffic gets through, and malware is consistently blocked.
Comodo describe their policy here as "Default Deny Protection": unless they know a program is safe, it's not allowed to communicate online, or use another program to do the same (by opening an Internet Explorer window, for instance). While this is certainly secure, it also makes for plenty of alerts early on, as the program is regularly warning you about one program or another. The firewall will by default remember your answers, though, so you're only asked once per program activity and the pop-ups soon slow down.
Comodo Firewall's Defense+ technology adds a host of additional security features. There's a Sandbox, allowing you to run potentially dangerous programs in an isolated environment where there's little chance they can harm your PC, for example. You're able to ask the program to protect specific Registry keys, files or folders against unauthorised changes. And a "Blocked Files" module lets you lock down particularly sensitive files and folders so nothing can access them.
If you're a PC security novice then there's no need to worry about how any of this works. You can just install Comodo Firewall, accept all the default settings and leave it to get on with protecting your system.
If you're more experienced, though, you'll appreciate the program's extreme configurability. Comodo Firewall comes with a host of tweaks and options to change just about every aspect of its operations: you can set up your own application rules, custom network policy, firewall rules and settings, Defense+ policy and more, fine-tuning your security to the precise levels you need.