To be perfectly honest, if you're running any of the windows variants, provided they are all kept fully upto date with security patches, the system should pretty much be fine...... also, if you have things like IIS removed after install, and then make sure your dial up connection does not connect anything other than basic tcp, which means no file/print sharing, or client for microsoft networks ticks on then again mostly it should be fine.
Although I am currently sat behind an ISDN router which uses Network Address Translation (NAT), before having this, I never once used any firewalling products, since they became a nuisance, blocking ports here there and everywhere
What I do believe in strongly now is Symantec Norton Antivirus, provided it's kept fully upto date, this is a very very handy bit of software to be had, especially the 2002 version onwards, which includes scanning of outgoing e-mail (SMTP) as well as incoming (POP3).
-Alex (virus free for now...)