Firewall question?

the nat will provide good protection against inbound threats.  a software firewall on each client machine can still provide some extra protection though:

 

1) if another machine on the lan becomes compromised, say through a virus, a software firewall can help protect the other machines.  windows firewall would work fine here.

 

2) a software firewall is a failsafe if you misconfigure your 'border' router's firewall -- say you accidentally forward all ports while trying to setup a game, or something similar.  it can also help if your router has UPNP turned on and an evil program decides to start opening ports (many software firewalls support UPNP as well though, so they may not help with this).

 

3) lastly, some software firewalls like zonealarm offer outbound protection (that prohibit applications from connecting to the net without your permission).  i tend to think that this level of protection is unnecessary if you're careful in what you do, but I'm sure it's right for some people

 

Overall, run a software firewire (I use windows) along with your hardware router.  if you decide that the added protection something like ZA offers is worth the aggrevation of using it and the small performance it that comes with it, then use it and turn windows firewall off.