Technically a router is a "firewall" because it will not allow direct access to your computer. The router is the first thing that will be asked for anything and therefore it is acting as a firewall, no exceptions there it's a by-product of using a router.
However using a DMZ Host setup is eliminating the protection it would provide, but allow anything that requires access to the outside to work. Only a good idea if you are actaully running a firewall, or keep windows up to date, and disable a lot of it's functions.
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