This might be not as easy as you might want, firewalls can be a tricky topic. A widely used Linux firewall is 'ufw' it is part of the standard install. There is a graphical interface called 'gufw' which has an easy setting mode for getting started quickly, but also allows to fine tune rules in the graphical application.
Just install it with the line
sudo apt install gufw
However, please note that all Linux firewalls I am aware of are based on ports, not with applications. Actually the firewall only sees network traffic going in or going out, but I can not tell which application sent that traffic. All applications send their traffic to a certain port, e.g. Port 80 for standard HTTP traffic. You can very fine tune what happends to your traffic based on ports and it can get complicated very quickly (for example with FTP) but you can not say for example firefox can send traffic on port 80 but chrome can not. I do not know how the windows firewall does it, or whether it only seems to do that. I just now that the dialog there gives a list of applications.
So if you can work out your problem based on ports that your application use, you have all fexlibility you need. What I like about the gufw tool is that is has a rather safe quick setup mode that is quite useful to quickly lock up a mobile computer completely when using a public hotspot and just open a single hole for a specific port only.
Hope it helps.