Most, if not all routers have a firewall built in. Either Network Address Translation or Stateful Packet Inspection (or even both). They will do as good a job as say Zone Alarm in terms of preventing intrusion, but they do not by and large check the outgoing stuff. So if you pick up a trojan that sends key stroke logs etc to a miscreants site, many software firewalls will warn you that XYZ prog is trying to access the internet, the router firewall won't.
Maintaining a software firewall if you have a router is IMHO unnecessary if you are careful about where you visit and what emails you open.