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Why not just use your operating system's firewall? Why install some 3rd party firewall?

Because it (assuming you are using Windows) lacks features and fine grained controls? IE also comes with OS, but that doesn't mean one should not look for alternatives.

Windows really doesn't have a firewall with features comparable to other operating systems?

I suppose Microsoft's point of view could be that they don't want users to accidentally screw themselves while trying to open a port for BitTorrent, for example. I wonder what percentage of Windows users end up installing 3rd party spyware garbage to get a "real" firewall?

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