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A firewall is a part of a computer system or network that is designed to block unauthorized access while permitting authorized communications. It is a device or set of devices configured to permit, deny, encrypt, decrypt, or proxy all (in and out) computer traffic between different security domains based upon a set of rules and other criteria.
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Thanks wiki
You'll probably have ZoneAlarm or Norton Antivirus or something like that as a firewall. Windows have them built in too.