What Firewall do you use ?

I must admit I have not tried ESET Smart Security 4 but I see there is a 30 trial ... so I may give this a run

So if a router is used is it that all traffic goes through this?

I ask as a friend has a router used for WI-FI, and have just made sure that the windows firewall is turned on, so does this mean they have 2 layers of firewall protection?

Basically yes there are two layers of protection. One is the router with the NAT, a hardware-based protection and then the Windows Firewall which is a software-based protection.

Is the router NAT always on by default?

I did try it out but after the simplicity of the windows own firewall I returned to my NOD32 AV.
Probably just me, couldn't be A***d with the "learning curve" time scale!!

Yes, surely.

That is how the router knows to give packets to individual machines and acts very much as a secure firewall while doing so.

If a machine did not request a packet, there is no way for the router to know which to give it to...so it securely and simply drops the packet.

Now, if you have port forwarding setup and an unrequested packet comes in on a certain port and type specified, then it WILL send the packet to the machine it is supposed to go to.

What this all means is that if someone or rogue software tries to go through your router to an unspecified port, it's not getting though because it simply has nowhere to go.

Very wise. Definitely the best I have ever used.

ZoneAlarm Extreme Security, I trust my computer to it, for a long time so until I find out it doesn't work anymore I'm using it.

i use it too....now they have upgraded CIS to version 5 and now it also has cloud scanning.(links to download are avilable in their forum only)

My firewall protection is multi-layered: NAT protection through my router, along with Windows 7 Firewall, which has inbound as well as outbound protection configured. I really do not see the need for a third-party firewall, but that is personal preference.

Many people have been recommending Windows 7 Firewall Control from Sphinx software, but the program name is a bit misleading, as it is actually a separate firewall, not a control GUI for the Windows firewall. The protection it provides is based on the Windows Filtering Platform (WFP), similar to the built-in Windows firewall. Since both products work independently of each other, this program seems redundant to me, especially for the few features that the freeware version offers.