|Well, simply put, a SOHO router isn't really a router at all. It's a switch with NAT, DHCP and a firewall added onto it. As far as I can tell from mine at home, it's only capable of very basic routing.|
As an example, I have a Cisco 2800 router sitting in my office and what it's capable of, compared to a SOHO router is like comparing a highend enterprise level layer 3 switch with a hub.
Simply put, it's the features they come with and what they're capable of that differentiate them. Oh, and while a Cisco router like the one I mentioned can't "firewall" per se, you can do something like firewalling using access rules.
The reason the Cisco router is sitting in my office is, we've phased out all hardware based routers in favor of teamed (for redundancy) servers running UNIX (OpenBSD) for our routers/firewalls. Again, comparing what those are capable of to a SOHO router is the same as a hardware based router like the Cisco I mentioned to a SOHO. In fact, because the UNIX based boxes do 'real' firewalling, the Cisco's can't compare to them at that level either.
This is the reason I asked. The original posted doesn't give out much information and while I would wager he is talking about a SOHO router, I just thought, if he wasn't, I could answer his question for him.
As for the SOHO router, well, because it has the firewall built into it, it goes without saying that it can.