It's testing the entire chain, the computer and the network. Shields Up will ping Manny's computer on every port to find out if any of those ports are open. It's a conversation between Steve Gibson's website at GRC.com and Manny's computer. If his computer responds to any conversations that it tries to have, then Shields Up will tell him that those ports are open and he's insecure. So the router may be blocking it because it's between GRC and his computer, but it will try to "talk" to his computer. This effectively tests both the network and computer's security.