I have a lot of folks ask me how to know their firewall is working. While not necessarily the most exhaustive test you should at least consider going to the famous ShieldsUp site maintained by Gibson Research and have them probe your system. I do this check on my routers, and on my netbooks when traveling and connecting to unsecured hotel or airport network.
Note that the results provided by the ShieldsUp site can be misleading if you’re connecting through a network address translator (NAT). NAT’s are commonly used in home router as well as public WiFi access points to help protect the local network from the larger Internet. ShieldsUp gives a very nice and easy to read display showing the status of your computers ports. You’ve just got to be careful on how you interpret the results!
If you’re behind a NAT you will often get a ShieldsUp report showing all of your computers service ports are stealthed or closed. While they likely are closed to the wider Internet they may in fact still be open on your local network. This is likely not a problem if you’re on your home or office network where you know things are secured and you know and trust all the other users. If you’re on an unsecured public network however you could still be at risk from the other users on the local network. In other words, the hacker on the other side of the globe might not get you but the kid in the next hotel room might be looking at your files without you ever knowing it!
To limit your exposure when connecting to unsecured public networks always be sure to use secure browser links (https://…) and remember to turn off all exceptions to your firewall so that you block all incoming traffic.