I can't speak for the others, but I will give a brief explanation of ProtoWall.
It is a sort of firewall (controls information sent in and out of your computer, allowing some, disallowing others) which looks for data or data requests coming from certain IP addresses. It blocks the undesirable ones. It isn't perfect, but it helps block you from being searched by recording industry groups. It can also block some data going to/from advertising companies when viewing web pages.