Hallo:

for sure security matters, and I recommend you to use a firewall also. Here I suggest 'Tiny Firewall'* (yes, this is it's name :) or the common Zonealarm. It will hide your ports, if configured so, and warn you about incoming and, more important, outgoing unwanted traffic. If you feel more secured and confident then, well, alone this is worth the action of setting a firewall up.

But:
- a firewall will not protect you against such things like email worms**, in any way corrupted downloads and the like. So sometimes it gives you a false feeling of security.
- You have to bother with a lot of false alarms, sometimes. In the internet there is a steady amount of background noise, so to speak, and not every ping or so is an attack.
- Firewalls could spit in every soup. So, for example, as far as I know, it is very difficult to download from a firewalled sharer if you are firewalled too.

Uh, I could talk on and on and on... ;)

Greetings....

* Only recommended if you are truly firm in this matter, for it needs A LOT of user settings to work properly. If you are not so firm, use Zonealarm.
** Remember Melissa, anyone? *grins*