...run some of the free tests provided on the internet. (Typing "Firewall Tests" in Google comes up with a lot) Here are just a couple that I use:
Shields Up
https://www.grc.com/x/ne.dll?bh0bkyd2
Sygate Security Scan
http://scan.sygatetech.com/
Symantec Security Scan
http://security.symantec.com/sscv6/default.asp?langid=ie&venid=sym
Hope this helps.
Grif
I recently installed a Netgear RP614 Router to act as a firewall in addition to my ZoneAlarm Secutity Suite software firewall.
What tests can I run to verify that the router is performing it's firewall function as claimed by the manufacturer?
I am running Windows XP on a Dell Dimension 8400.

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