Your PC should already have a Firewall and on first time setup for each game, it will ask you to if you want to allow communication private networks or for public networks.
Choose private as it's for homes.
You would also need Steam (most games) and Origin (for BF1).
GTA V will require you to log into Social Club.
To go online, you just simply need your wifi to work and just go in-game and onto multiplayer for all, if not, most games.