A firewall is absolutly essential!
To give you an idea, when i first got BB, i had no hardware firewall, and disabled the software firewall while installing BB. Within a few seconds, a virus had downloaded to my pc
I would recommend at least a software firewall such as Zonealarm. However, i run and recommend a hardware firewall (router) and software firewall. The hardware firewall will ensure that no unauthorised traffic can get to your pc (and will filter some outgoing stuff too, such as trojan attacks from your pc). The software firewall will check that not trojans/spyware can access the internet. I have a Netgear fr114p router and Zonealarm. I have ZA set with firewall OFF, but program detection on.