If you don’t want to get a proper Linux install up and running on a router, so that you can use it as a hardware firewall, then you might be interested in the Yoggie Pico.  According to Slashdot, this is essentially a mini computer on a USB drive, that takes the load of running the firewall off of your CPU.  A previous version of their product used RJ45 ports, and sat on the actual connection, whereas this new product is designed to be smaller and so it is relegated to a USB port.
“An Israeli startup has squeezed a complete hardware firewall into a USB key. The ‘Yoggie Pico’ from Yoggie Systems runs Linux 2.6 along with 13 security applications on a 520MHz PXA270, an Intel processor typically used in high-end smartphones. The Pico works in conjunction with Windows XP or Vista drivers that hijack traffic at network layers 2-3, below the TCP/IP stack, and route it to USB, where the Yoggie analyzes and filters traffic at close-to-100Mbps wireline speeds. The device will hit big-box retailers in the US this month at a price of $180.”

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