" Will I still be able to download at the same speed as my ADSL modem."
yes. I am going via a 2Mb BB connection on a belkin WiFi router and wirelessly my downloads go to a round 240Kbps.
" Also what firewall should I be using. "
I just use windows own firewall and the built in firewall of the router.
I have used Zone alarm before and it's fine.