

In the new example, the Firewall has two network interfaces, but technically it can be done with only 1 interface if you have a network switch with VLAN support. Technically you could also add a second interface on your computer and give it the option to completely bypass the firewall but that only helps if you can restrict your application of choice to only go out the firewalled interface. But it's a whole lot closer to actually doing what you want it to than some random desktop application. There are of course no guarantees as no software is perfect and firewalls are software too. (slight repetition:) the reason you'd use a firewall external to your PC is that it makes it impossible for any application to 'bypass' it since it doesn't actually know it is there. The lines between the boxes would represent network connections, i.e.

Schematically, your old/current situation: If you don't want to replace your current OS on the Pi, you'll have to manually work with iptables (if you use linux) or pf (if you use BSD). Yes, you can install OpenWRT or OpnSense on a Raspberry Pi.
