3rd party firewall will not do any better than Windows built-in firewall against inbound attacks. Both router and Windows firewall are effective against the types of packet worms that we've seen in the past. However if you have friends over at the house and they bring their laptops and use your LAN, then you'd want your own systems to have a software firewall.
Yes I would say all you need is Windows firewall and a good AV such as Kaspersky AV which have multi-layered defense, but all AV can fail so you need to keep Windows and all internet facing apps, e.g., Acrobat, Java, Flash... patched up to date, and always think twice before running any downloaded executables even though the AV say it's clean.
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