If you chose GUFW, you have to click on the ''Unlock'' button after starting the GUI, then check ''Activate'' or push the ''Status'' slider to the ''On'' position. The default configuration (Incoming: Deny; Outgoing: Allow) is a good start for beginners, and contrary to what it claims, critical service messages will still be able to reach your machine, as well as incoming packets for which you established the connexion (it is a stateful firewall).
You can use <code>sudo iptables -L</code> or <code>sudo lsof -i -n</code> to list enforced rules.
Use <code>netstat -laputen | grep -i listen</code> to know which services are listening on which interface/port. If you activated the firewall, listening ports might not be reachable unless you configured your firewall to accept incoming connection to these services.