Install a Firewall!
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A firewall is hardware and/or software that is used to protect a computer or private network resources from intruders or hackers who might try to break into those systems. Basically, a firewall filters all network packets to determine whether to forward them toward their destination. A firewall provides an extra level of protection that is not provided by an anti-virus program.
Hardware Firewall vs. Software Firewall
Hardware firewalls provide a strong degree of protection from most forms of attack coming from the outside to the internal network. Hardware firewalls can protect computers on a local area network and they can be implemented without much configuration difficulty. Software firewalls are installed on individual computers and they need sufficient configuration to be effective. Software firewalls contain a set of related programs, usually located at a network gateway server, that protect the resources of a private network from users on other networks or from internal users. Software firewalls allow application screening to verify the interaction between the requesting client and the requested resource. There are three main types of firewall architecture: Stateful Inspection, Proxy based, and Packet Filtering.
Stateful Inspection actively examines the state of any active network connections and based on this information determines what packets to accept or reject. Stateful Inspection provides the highest level of access control and protection against unwanted intrusions into the network. Proxy based firewalls requires two components: a proxy server and a proxy client. A proxy client talks to the proxy server rather than to the "real" server that is needed for the requested resources. After connecting to the proxy, the user is authenticated. If the request is approved, the proxy server contacts the real server on behalf of the client (explaining the term "proxy"). The proxy firewall may also perform detailed logging of traffic and monitoring of events on the host system. However, because they are more involved in the connection, proxy firewalls tend to have lower performance than packet filters. Packet filtering is the simplest of the firewalls and filters packets (allows them through or disallows them) based on certain rules determined by the site's security policy.
Hardware and software firewalls each have their own advantages. The best preparation is to have a combination of both hardware and software firewalls to have a well protected system.
It should be noted that firewalls do not protect you from viruses, so having a firewall does not mean that you don't need an anti-virus program.