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Firewall
Internet Connection Firewall (ICF) that is built into Windows is software firewall. This means that it is a software application that runs on your computer and filters network traffic. First you need to enable it and set it up.
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There is a simple registry tweak to fix this problem.
Sometimes you might need to find out what is your public IP address. Depending on your network configuration it might not be straightforward. There are many ways to determine your IP address. Here are few.