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Hardware-based firewalls provide more sophisticated protection for inbound and outbound traffic than the simple Windows software firewall or the basic NAT firewalls found in routers. These devices implement techniques such as stateful packet inspection, deep packet inspection, and content filtering; and may include built-in antivirus and anti-malware protection.
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here a tutorial on how to start the first one.
http://www.petenetlive.com/KB/Article/0000050.htm