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Hi,
Let's assume that we have a client and a server. Server has all ports routed. Client sends a UDP packet to the server and it reaches to server. Server wants to answer the client so it sends a packet to the client. Client is behind a router, so it should not be able to recieve the packet because the packets coming to the router is not forwarded to the client machine. But actually the packets reach the client machine. How?
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Suggest you read up on Sockets, to help you understand a bit more.

http://en.wikipedia.org/wiki/Internet_socket[^]
 
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