Most windows software firewalls, hook into the network card drivers and intercept all packets before hitting windows, Have these set to block ports etc and you won't get any packets. The WinXP Firewall, blocks incoming packets only, (as per MS) therefore if you allow UTorrent inself to setup the winXP firewall you'll find... if you take a look and setup the rules properly yourself, that all incoming UDP packets for UTorrent are blocked because their isn't any rules saying to allow UDP traffic to UTorrent. The only major differance between a hardware firewall and a software one is the hardware one is in another box but it's still a software firewall ruuning the show, your computer just doesn't have the berden of running the firewall on it anymore.