A firewall is a piece of software that blocks out all unwanted incoming internet traffic.
If a packet of data is comming in to your computer and you did not request it (you request a website for example), the data is not allowed through. Firewalls can be configured to allow data to come in to programs such as MSN Messenger without you having to request it. Most firewalls ask you the first time you receive information for a program. If a hacker is trying to get into your system they will be blocked by the firewall. The same goes for worms. A worm travels over a network and the internet and tries to access your computer. The firewall will block the worm from entering your system as it is an unknown data packet.
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