My official answer.
If you're at home and it's your own router, you don't need to activate the software firewall on your computer.
If the router is in a public place, you DO need to turn on your software firewall!
Windows 7 does a good job of this, asking you with every new connection if you're at home, at work, or in a public place. The firewall adjusts itself accordingly, eliminating a lot of the nags you'd normally receive if the software firewall was always on.--
Watch my future television channel's public test broadcast!