Web control is under IE security options. Regarding hardware, any router will include its own firewall which you need to configure for that. The router will have its own software to do so. Doing it by software is more flexible and provides more possibilities but also it is easier to hack.
Hardware only firewalls or proxies based their configuration on jumpers. Each jumper may have a cap or not. If the jumper has its cap on, then it means that a particular options has been chosen. If the cap is off, the contrary options is the chosen one.
Different combinations of jumpers/caps gives you different configurations. And, of course, it is harder to hack because the hacker needs to be there physically to change the configuration and hence it is more secure. But, of course, it is less flexible.
Pretty much like your hard drive if you want it to act as a primary hard drive or as a slave. You put the cap on the right jumper