Is it necessary to have a firewall installed with dial-up connection?
I do recommend: virus/worms protection, privacy, security (hackers)...
No disavantages ... but, take care, you need a good combination of antivirus and firewall... some are incompatible.
I suggest avast! + ZoneAlarm
You can try others that are good too: Sygate, Outpost or Kerio (last versions).