Firewalls works to block unsolicited entry to your computer. The firewall routes communication through a proxy server keeping unsolicited/Unrequested traffic out of your network.
Your firewall is a another security system. Your firewall acts as a barrier between a trusted network and and an untrusted network. A firewall controls access to the resources of a network through a positive control model.
This means that the only traffic allowed into the network is defined in the firewall policy; all other traffic is denied.
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