Hi broomstick,
Shortly, yes. If you are not running a firewall at all, you should at least enable the windows one.
It is also recommended to run a 3rd party firewall that can prvide outbound protection (instead of the windows one), such as:
Outpost Firewall
Online Armor
PC Tools
To name a few of the top of my head, all with free versions as far as I know.
-Scott-