Some people do this, and there's also IPSec filtering. However, Microsoft
says that neither of these are really meant as firewalls. For one thing,
there's no logging, alerting or intrusion detection. The lack of logging
causes a problem not only when you suspect you may have been hacked or
flooded with a DoS, but also when something goes wrong during the initial
setup. And, I would always be concerned that the filtering could become
enabled by an idiot administrator, a future patch or service pack
installation, a network card replacement, a spontaneous software glitch,
etc. Also, firewalls have gotten fairly cheap.
www.netscreen.com offers
hardware firewall devices starting around $600 US, possibly cheaper if you
search ebay.com for firewalls.
Information on setting up IPSec or TCP/IP filtering:
http://securityadmin.info/faq.asp#firewall
http://securityadmin.info/faq.asp#ipsec
www.nsa.gov/snac