I would recommend a router running NAT and SPI firewall first, and software firewalls as a second resort. I have used both Komodo and Zone Alarm free editions and they are both OK, but the free editions don't do much over what the built in windows firewall does. They just port filter really, unless you want to pay for a firewall then you can get more advanced features.
It just depends what your needs/wants are. If you don't plan on downloading lots of pirated software and other things you find on P2P networking you should be OK. Also, never install active X or unknown browser plug ins, or unknown software in general. Then just make sure you are careful with email attachments and you should be relatively virus free.