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Most premium anti-virus software’s will have a built in firewall and anti-spyware. Firewalls help prevent malicious incoming traffic, such as blocking trojans, backdoors and various other malicious programs from accessing your computer, but this doesn’t mean it can stop everything, they can always be bypassed or disabled by malware. Firewalls can also block legal connections, such as downloads and multiplayer game connections. Some firewalls can slow down your internet speed or be complicated to use.
What I recommend:
If you do decide to have a firewall there are a few good free ones out there.