Fire,
For what it is the Windows firewall OK for inbound protection, but as CharleyO noted, it has no outbound monitoring/protection.
Most of current DSL/Cable modems have some type of hardware firewall that will provide good inbound protection prior to reaching your PC.
Besides having outbound monitoring/protection for any malware activity, also handy in blocking legit aps you may have trying to "phone home"; e.g., I have WMP setup so it can make outside connections when "I" allow it.
Actually most of the newer firewalls have some type of HIPS and/or program guard to catch any non-allowed/malware type activity.
No one application (firewall, AV, AS, etc.) will provide 100% protection, hence the best one can do is to use some form of the "layered approach" e.g.:
http://www.dslreports.com/faq/8463