I agree that it sounds like you are talking about setting it up as a server and using it as a firewall. I don't know about increased speed though. I would think that one more connection to go through would slow it down, but I wouldn't know for sure. You can get programs that act as a firewall for your computer without having to have a second computer. I use ZoneAlarm. Works pretty good for free software. The only other reason I could think of that would make connecting through a server useful would be if you had multiple computers that needed to be connected to the internet, but you don't so that is a useless feature.

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