I connect to the internet via my linksys wireless router with 128 bit encryption, set list of trusted MAC addresses, and before information passes from the router to my computer I have Kerio Personal firewall. If I turn the firewall off and went to grc.com and had the port scan done, I still show a lot of ports stealthed. Therefore I count my router as a firewall. Also I like the option of port forwarding to non-existing IPs so that port can never be compromised or connected to (I think its 113).

Edit: I believe you should always run an antivirus, I have gotten a few in the past from Kazaa Lite and other websites, but since then I have changed my security policies for myself.