I use a router and enable the firewall therefore no need for a SW firewall.
My understanding of a router is it effectively masks (stealth) all ports downline of the router, so blocking most/all incoming hostile traffic.
But what stops outbound traffic
not your router, unless it also has some sort of software interface?
If my understanding is incorrect I'm sure someone will correct me.
You say you enable the firewall, the Windows XP default one I assume? If this is correct then you need to cross your fingers as well as it is pretty basic at stoping outbound trafic. Many people recommend that you use a third party firwall rather than the XP firewall.
Perhaps you need to do a LeakTest at grc.com and confirm your router protects you from outbound traffic.