The build-in-"firewall" in Winroute is a normal packetfilter. You must know all bad ports, trojans etc. to create rules in that filter.
A good firewall as @guard f.e. has a "interactive learning mode".
At the beginning all is blocked. When a new packet pass by the Firewall pops up and you have to manualy create rules in the Firewall (block or permit). This give you full control about all. Ports, ip´s, services....everything.
Some call it paranoia, I call it security...
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CU
9inchNail