Answer: If you are looking for a fruiting fig, you may have a problem. Figs are not rated for hardiness in USDA Zone 5, but there is a cultivar called 'Chicago Hardy' that will supposedly withstand your winters. This is being grown at the Chicago Botanic Garden, and although it has survived the last few winters without dying completely, it has died back to the ground several times. Unfortunately, this means that the new growth is not mature enough to produce figs.
Your other option is to select something like Brown Turkey fig, plant it in a pot and either bring it indoors for the winter or dig a deep trench and bury it for the winter.
Whichever you choose, good luck.
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