Hi Fred,
Yes, you can do pretty much anything you would do on a normal OS inside a VM.
Qubes comes with a firewall VM installed by default (called sys-firewall). You don’t have to setup a firewall in each VM, since each VM will get their internet connection from sys-firewall.
sys-firewall is not pre-configured with any settings besides VM isolation and such, but you can add custom rules there (for example, to block connections from/to a specific server/port).
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