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It's more likely that you'll need a router between your firewall and the Internet. In this location, a router can screen out an Internet stream's obvious "junk traffic" before it reaches the firewall. You can use the router to apply broad firewall rules across the enterprise. For example, if you don't allow any SSH traffic through the firewall, you can drop all inbound port 22 traffic at the router, letting the firewall focus on arbitrating tougher decisions.
Some firewalls do act as proxy servers, but only if they are specifically designed as Layer 7, or application-layer firewalls. Consider the case where an internal user wishes to access an external Web site. The proxy firewall transparently inserts itself into the conversation, completing the three-way handshake with the end user, determining whether the traffic is allowed, and then completing a separate three-way handshake with the destination system.
This was first published in August 2007