Rule 1 - Use a firewall router to protect your computer

Routers are devices that permit several computers to connect over a single connection to the Internet. If you have a broadband connection to the Internet such as cable or DSL and you have 2 or more computers in your household or site you probably already have one. But a router is also recommended even if you have only one computer, the reason being that the models available on the market today also contain firewalls. This hardware firewall protection is very desirable to have, even if you have a software firewall on your computer. There are several reasons why:

The router firewall is there all the time. It continues giving you protection even when you have to temporarily turn off your software firewall for troubleshooting or other reasons.
The router firewall runs without your intervention. Software firewalls frequently present you with dialogs asking you if you want to let whatever connect, and it is easy to click the wrong button. This is not a problem with hardware firewalls.
Different firewalls offer different protection strategies. A second firewall may catch something that first one missed.
There is a rule that you must never have more than one firewall (or antivirus, for that matter) on a computer. As the router 's firewall is external to your computer, it gives you the added protection of a second firewall without violating this rule.
With a broadband connection you are continuously connected to the Internet, as opposed to a dial-up connection where your exposure is for shorter periods. This increases the danger of your getting a virus or spyware. The router's firewall compensates for this extra risk. In fact, it more than compensates, so that using a broadband connection becomes safer than using dial-up!
A router is probably the only security measure there is that actually makes things easier for you! Most work right out of the box. Unpack your firewall, hook it up and it will work. With a DSL connection you do have to configure the router to make the PPPoE connection to your ISP, but this is easier to do than configuring a PPPoE connection on your computer. After hooking it up you have to reconfigure your computer to use a LAN connection, but this is the easiest type of connection to configure.
Network troubleshooting is easier when you have a firewall. Firewalls are highly reliable, so when troubleshooting your computers networking, you have the advantage of having it connected to a known good communications partner. This really makes things easier.

Good enough reasons? If you don't have a firewall, go get one now!

The router is the only item on the list that is not available as a free download, but there are a number of excellent routers available at reasonable prices.

One final note from my experience: when the Blaster virus struck in 2003, the call volume at Microsoft tech support was so heavy that for several months customers were having to wait for up to 3 hours to get through. Almost none of the customers I handled in this time had firewalls. Home users who were behind firewalls were by and large spared the considerable inconvenience caused by this notorious virus.