As far as I know a 'natural firewall' does not change the protocol. What it does is allow communications between external and internally generated TCP/IP addresses. It allows these internally produced TCP/IP addresses to connect to the 'net, through a single externally visable TCP/IP address. So someone looking in cannot see any of the machines connected, because it cannot interpret their TCP/IP addresses.
If your machine is a single system then a natural firewall is not much good to you. This will not protect your data, it will protect your systems.
What you probably need to look at is data encryption and securing your data.