Any router now should act as a kind of firewall through a process called Network Address Translation. In a nutshell it means your individual computer is hidden from the Internet; all requests go through the router so you can't be 'attacked' directly. You should probably still run something locally though; Windows XP comes with a firewall program which should be sufficient.
Routers are often combined with other functions, like having a built-in wireless access point. If you get one those, make sure you put a password on the wireless connection otherwise people from outside will be able to use your net connection. Other features depend on the territory; here ADSL is the preferred broadband connection; there are relatively few cable connections. Hence many routers have an integrated ADSL modem. In America I imagine the balance is a bit different, perhaps you'd need a separate cable modem to plug into it.
