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Malware can with a number of different names e.g. viruse, trojans, adware, spyware, etc
Viruses are unwanted pieces of program code that can make a PC unusable by deleteing files or encrypting them and so on. Some will search your Pc for email addresses and generates masses of spam emails and send it out to any addresses it can find.
Trojans are programs that claim to be one thing but in fact carry a hidden payload. You may go to a website that claims that your PC is infected with many viruses and if you accept what it says it will load a Trojan onto your system claiming to be an anti-virus package which actually goes and infects your PC with even worse things such as:
Spyware - these are programs that 'spy' on you. They can run hidden in the background logging which web sites you visit, record usernames & passwords for secure sites such as online banking and they will transmit this information to criminals in Russia who can then gain access to your bank accounts and clean you out.
Adware loads up your Pc with advertising. It will usually hijack youe web browser so that you always go to a specific site which will be advertising things like viagra and pornography etc.
A Firewall is a program (or even a piece of hardware) that hides you from the Internet. It will monitor all unsolicited inbound traffic and block unwanted accesses. It will also monitor all attempts to connect outgoing to the Internet and help you spot any trojans/spyware etc trying to send information out.
Some Anti-virus packages are combined with a Firewall. Both McAfee and Norton do these for home users.
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