If you're on a broadband network, especially cable then you ought to have some kind of personal firewall. It isn't as necessary for an analog modem since your ip is dynamic, but even then it wouldn't be a bad idea, particularly if you are connected for long periods of time. Bear in mind that firewalls complicate your connection and may prevent you from connecting to other hosts. And of course, don't share any drives/folders that you don't want someone else poking around.