Just make sure you read the FAQ and documentation that comes with it.
http://www.smoothwall.org/docs/
Before you attempt an installation, there is no dual boot support I believe so you'll have to find a dedicated machine to run it or you can always buy another hard drive and use that to install SW and switch it out when you don't need it.
Check the comparison chart at
http://www.smoothwall.net/products/comparison.gpl.php
The free version is the Express 2.0 comparing it to their commercial ones.
If you don't know what the features do, scroll all the way down and it'll tell you or you can google it.