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Sultanx is right, to a point. Most of the low end consumer equipment simply uses NAT to somewhat block outside requests. The last linksys router I had did port forwarding as well. I've got aquaintainces who admin some PiX boxes that would cringe though.
For the average user, a consumer router *and* a software firewall should provide enough protection. Hell, Windows XP's firewall might even suffice.
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