Network Security Basics
Aside from the various types of viruses and spyware, there are lots of problems that can occur as a direct result of someone else's actions - rather than you visiting a web page with spyware or downloading a program with a virus. There are a number of things that you can and should do to prevent worms, bandwidth theft, network intrusions, and related problems. The simplest and more effective is to get a firewall.
Use a router for improved security - How much?
You can get a hardware firewall, which can be a router, a PC setup as a router, an onboard hardware firewall (such as that on the nVidia nForce3 and 4 chipsets), or a device which serves no purpose other than being a firewall. If you share your Internet connection among multiple computers, than you almost certainly have a router, which will act as your hardware firewall. However, if you have two PCs using Internet Connection Sharing or an Ad-hoc wireless network, then you are most likely lacking in a hardware firewall.
A hardware firewall is suitable for most people's needs and won't cause many problems for most people. With routers and other hardware firewalls, port forwarding can be necessary to run certain programs, especially peer-to-peer file-sharing programs. If you are an inexperienced user but need Bittorrent or something similar, a hardware firewall may cause you problems.