Introduction to Firewalls
Firewalls can't do many things. They can't protect against malicious insiders. If someone wants to copy your data onto a disk and walk out with it, the best firewall known can do nothing about it. Similarly, firewalls can't protect connections that don't pass through them. If someone has a dialout modem, there is nothing the firewall can do to protect this connection. And, perhaps most important, firewalls can't set themselves up. All firewalls need some measure of configuration, and all networks are slightly different. A misconfigured firewall may give you an illusion of security, which might entice you to act as if you're protected when you really aren't.
The link for this article located at Linux.com is no longer available.