Felix a FW will not prevent you getting viruses or spyware on your computer. Trojans can also access a computer that has a firewall through a legitimate download. However [especially with SP2] lots of network issues can be solved by disabling any firewalls or allowing access.
Worrying - I'm about to buy a second PC, probably from Dell, and set up a Wireless network. I'm surfing around the forums to try and pick up some ideas before buying cards & a router. Watch out for my "help.....I've just bought ...... and the ....won't work" post in here