Firewall

Of course you need a software firewall such as Zone Alarm or Sunbelt Kerio. All hardware firewalls protect only against incoming traffic. They do not prevent you from "phoning home".

Hardware firewalls can protect against unwanted traffic in either direction. The issue is simply that it's often harder to determine what traffic is wanted and what traffic is unwanted because a hardware firewall doesn't know what process, program, or user caused a packet to be sent or would receive it.

DS