In order to understand the issue you heed to know how Cable/DSL Router works.
When you use few computers to share one Internet connection, the information that comes from the Internet needs to know to which computer it belongs. The main function of Cable/DSL Router is to Route the Internet signal to the requesting computer. This function is called Network Address Translation (NAT).
As result information that comes from the Internet and was not requested by one of you LAN?s computers (e.g. hacking attempts) does not know where to go, and it is blocked, hence NAT Firewall. In other word NAT Firewall is Just a by product of the way the Router mange the sharing of the Internet connection.
When you are connected to a Website or downloading files, a lot of junk can get to your Hard Drive. Since you requested the pages from the site the NAT Firewall will not block what comes in from this page.
If the ?Site Keeper? loaded the page with ?Junk? it will get to your computer.
Since the NAT-Firewall blocks only Incoming, any communication initiated from any of your LAN?s computers will go out to the Internet, and will be answered. As a result programs calling home, spywares, ?zombies? etc. can communicate freely in lieu of the NAT Firewall.
You will not be even aware of these activities unless you monitor the communication locally with a software Firewall.
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So you have NAT-Firewall but you can end up with Viruses, Zombies, Trojan etc. "Dished" to you by sites that you visited on your own volition, and you would not about it until your Network get trashed and you lose the connection
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Quote from:
http://www.ezlan.net/firewall.html