pfsense is pretty versatile – depending on how you want it running and what you want it to do, you'll need different things. At a minimum, you'll need something running pfsense -- that can be a virtual machine, a server, a laptop, or even a little box that just runs pfsense (like this: https://store.netgate.com/SG-1000.aspx).
From there, it's LIKELY that you'll have some network connections -- pfsense is good at managing what and how things get from one connection to the other.
What would you like pfsense to do for you?