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Originally Posted by lsainsbury
But if my PC is initiating the connection by my action then I should be in control of where the browser is going?
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True, which is why you would set your firewall to allow the browser access to the web. If however, you were to catch some nasty, and that tries to access the web (i.e. not by your action), your firewall will alert you to that, and you can block/remove the nasty. A router does not do this.