Firewalls are an important piece of security software and the primary function of a firewall is to block unrequested incoming connections. Firewalls can block different types of connections intelligently for example, they can allow access to network file shares and other services when your laptop is connected to your home network, but not when it's connected to a public Wi-Fi network in a coffee shop.
A firewall helps block connections to potentially vulnerable services and controls access to network services particularly file shares, but also other types of services that should only be accessible on trusted networks.
Before Windows XP SP2, when the Windows Firewall was upgraded and enabled by default, Windows XP systems connected directly to the Internet became infected after four minutes on average. Worms like the Blaster worm tried to connect directly to everyone. Because it didn't have a firewall, Windows let the Blaster worm right in.
A firewall would have protected against this, even if the underlying Windows software as vulnerable. Even if a modern version of Windows is vulnerable to such a worm, it will be extremely difficult to infect the computer because the firewall blocks all such incoming traffic.
The Windows Firewall does the exact same job of blocking incoming connections as a third-party firewall. Third-party firewalls like the one included with Norton may pop up more often, informing you that they're working and asking for your input, but the Windows firewall is constantly doing its thankless job in the background.
It's enabled by default and should still enabled unless you've disabled it manually or installed a third-party firewall. You can find its interface under Windows Firewall in the Control Panel.
When a program wants to receive incoming connections, it must create a firewall rule or pop up a dialog and prompt you for permission. If all you care about is having a firewall to block incoming connections, there's nothing wrong with the Windows firewall.
If you Want a Third-Party Firewall
By default, the Windows firewall only does what's really important: block incoming connections. It has some more advanced features, but they're in a hidden, harder-to-use interface.
For example, most third-party firewalls allow you to easily control which applications on your computer can connect to the Internet. They'll pop up a box when an application first initiates an outgoing connection. This allows you to control which applications on your computer can access the Internet, blocking certain applications from connecting. This can be a little annoying, but it does give you more control if you're a power user.
A third-party firewall is a power-user tool, not an essential piece of security software. The Windows firewall is solid and trustworthy. While people can quibble about the Microsoft Security Essentials/Windows Defender virus detection rate, the Windows firewall does just as good a job of blocking incoming connections as other firewalls.
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