I found out about this very famous website - www.grc.com. It has two popular tools, called ShieldsUP!(https://www.grc.com/x/ne.dll?bh0bkyd2) and Leaktest(http://www.grc.com/lt/leaktest.htm). They're to check the vulnerability of a firewall.
I'm using NIS2009, and in BOTH these tests, NIS's firewall has failed.
Leaktest result: 
Am I doing something wrong? This makes me really worried. Such a reputed firewall is failing in these tests.