I just wanted to point out that any 'hardware firewall' has an embedded operating system that's running a packet filtering engine. The main diffrence betenne these devices, and a firewall installed on your computer is that the 'hardware firewall' is running on a seperate device, and will probably fail shut.
Another thing about most personal firewalls for windows is that they often police outgoing traffic, which is quite nice for prevening malware (viruses, spyware, etc) from getting out.
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