Ubuntu has a firewall included in the Kernel, and is running by default. What you need to manage this firewall are the iptables. But this are complicated to manage, so you can use UFW (uncomplicated firewall) to configure them. But UFW is still something hard for normal users, so what you can do is install GUFW that is just a graphical front end for UFW.
If you use GUFW, the first time you will see at the bottom of the window 'Disabled Firewall'. But this is not true, your firewall is already running. This enable/disable message refers to the rules set with UFW, not to the firewall.
If you don't believe me open a terminal and write
sudo iptables --list --verbose
Try this with GUFW enabled and disabled. You will see that the only diferences will be the rules you set with GUFW.