[Bungleau]

My suggestion (after saying yes, you need a firewall) is to use either a software one (as already suggested), or consider a hardware one as well. I use a four-port Linksys router, and it has eliminated a lot of problems.

The one thing a hardware firewall doesn't give you is protection from trojan horse routines, like the auto-dialers already mentioned. On my system, though, I don't have a modem, so it's much less of an issue.