mac550, that is one of the most ridiculous pieces of securty advice i have ever heard. The windows fireall is there to prevent a infected pc from spreding a worm on your network.
It is safer to have worms infect your system so that you know you are affected, then to have it block the infections and remain clueless that you are being attacked.
Thats like saying the marines should not wear body armor, because it will make it harder for them to know when they are being shot at.
To use another military example. Think of the router as a guard tower at the perimeter of a base. It will stop any threats coming from outside. But say for example someone is already in, or snuck in from another entrence, you still want guards stationed at each building. Perimeter security is just one part, internal security is also a critical part.
Note, you can set the windows firewall to prevent unrequested inbound connections (exceptions).
The router "firewall" is there to protect you from threats from the internet. The windows firewall is there to protect you from threats already on the lan.
I would enable the windows fire wall for sure, for 99.9% of users it will cause no problems, the rest might need to make a firewall exception for a program or port.