To add to what Mike stated...
Cable/DSL Routers such as the Linksys BEFSR41 use Network Address
Translation (NAT) and thus act as simplistic FireWalls. There are other
models from Linksys and other vendors that have full FireWall
implementations. They are inexpensiive, have other benefits as well
and are highly suggested.
As always, I suggest blocking both TCP and UDP ports 135 ~ 139 and 445
on *any* SOHO Router.
It's very nice to see someone other than me tell people about the
difference in SOHO units for a change. The difference between a firewall
appliance and a NAT Router (the entire Linksys line, even the BEFSX41 is
just a NAT box) is that they offer little FIREWALL protection. These units
are the absolute minimum I would install for a home user, and they are
absolutely needed for any type of DSL/Cable connection for home users.
If the OP really wants a firewall, a WatchGuard SOHO 6 unit or a X5 unit
would be ideal for a small office or home user. A second alternative might
be the Netscreen 5GT-ADSL Plus (or other version depending on the WAN
connection).
If the OP has to go cheap, meaning a D-Link/Netgear/Linksys and under $200
(USD) then even the Linksys BEFSR41 provides as much inbound protection as
any of the others in its class.