A firewall is still recommended, even if you use a broadband router. Most broadband routers provide a form of Firewall protection from unwanted incoming traffic through the very mechanism it uses to share the internet connection. However, most do not contain a "traditional" firewall and do not block any outgoing traffic. This still makes you vulnerable to trojan or malicious "phone home" programs.
Road Runner offers an free software Firewall: EZ Armor Security.
Q: Are there any free Firewalls?
Yes. There are several effective firewalls on the internet.
Recommended free firewalls:
•Tiny Personal Firewall
•Kerio Personal Firewall
Kerio and Tiny support Forums can be found here.