It is an upgrade of the Medium Wall which increases hit points by 100. It can be upgraded at Granary once the Iron Age is reached. Like all buildings, when Architecture is researched, its hit points increases (totaling up to 480) and build time is reduced.
In the Age of Empires beta, Fortified Walls and other Walls catch fire when they were damaged, just like every other building in the final game.
The great civilizations of ancient times built ever larger fortifications to protect their important cities and frontiers. Herodotus reported that the walls of Babylon were sufficiently thick that a chariot could be driven on them around the city. Archaeology indicates that large walls were not invulnerable – every great ancient city appears to have been stormed eventually – but only a large and well-equipped army could surmount them.