How to Add local host filters - Windows Proxy Server

A local host filter makes it possible for your computer to receive only the traffic that is destined for the computer. A local host filter works by making it possible for users to access your computer, but not to route through your computer. After this filter is set, only traffic that is destined for this host is allowed in the interface. 

In this example, your Proxy server is configured with an Internet IP address of 192.168.1.1, with a subnet mask of 255.255.255.0. To add local host filters, follow these steps:

1. In the IP Routing folder, click Summary.
2. Right-click the interface over which you want to set the filter, and then click Configure Interface. This should be the external interface that is connected to the Internet.
3. In the IP Configuration dialog box, click Input Filters.
4. In the IP Packet Filters Configuration dialog box, click Add. To allow packets with a destination address of your Proxy server, add a filter with the destination IP address of 192.168.1.1 and the destination subnet mask of 255.255.255.0. Click Any as the type of protocol. Click OK, click Drop All Except Listed Below under Filter Action, and then click OK.
5. In the IP Configuration dialog box, click Output Filters.
6. In the IP Packet Filters Configuration dialog box, click Add. To allow packets that are leaving directly from your Proxy server, add a filter with the source IP address of 192.168.1.1 and the source subnet mask of 255.255.255.0. Click Any as the type of protocol. Click OK, click Drop All Except Listed Below under Filter Action, and then click OK.

You now have configured RRAS to only allow packets that are leaving directly from your Proxy server or packets that are coming directly to your Proxy server. This keeps someone on the Internet from getting into your internal network, and it keeps someone on your internal network from going to the Internet without using the Proxy Server. 

Configuring your Proxy Server/RRAS like this also makes it possible for your server to act as a PPTP server so that PPTP clients on the Internet can access your internal LAN.

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Thanks to  http://techgurulive.com/2009/05/05/how-to-add-local-host-filters-windows-proxy-server/