A firewall should both stop stuff from coming in and stuff from going out if it does not match a set rule in the rule base (stateful inspection).
Also, A firewall should NEVER, EVER respond with a 'deny' packet to ANY data that it will not allow, It should just discard that packet.
If the firewall responds it can then be attacked using very basic DOS (Denial of Service) techniques.
Is the Firewall running on your main PC or do you have a small LAN??!
I've not heard or used Winroute but I'm very familar with most firewalls both LAN and PC based, If you have any questions please feel free to email me.
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Gary Williams