Based of of what you want to protect, the type of firewall you should look for is a hardware firewall- a type of network router and provides network level protection to all devices on your network. Most anti-malware software advertise software based device level firewalls, which will filter network traffic on the computer it runs on, but these will only protect devices the anti-malware software is running on, not other devices like smart home devices, televisions, or game consoles. If you already have a network router, you can install firewall software on it like the pfSense firewall, which is open source and easy to install. I can't recommend a specific device without knowing your exact requirements, but some reliable brands in this space are TP-Link, Ubiquiti, Protectli, Mikrotik, and Netgate.

If you end up buying a hardware firewall or installing something like pfSense on your network router, remember to run all your network connections through your network router firewall before connecting to the internet, otherwise you won't be properly protected. Make sure it's the first thing your service provider's network cable plugs into, with other devices like your network switches, computers, and WiFi routers plugging into it to ensure everything is protected by it.
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