A couple of things you didn't mention. Make sure your Windoze stays up to date. Micro$oft seems to be always patching holes that are in plain normal traffic, nothing that a firewall would stop. The other thing is just plain old watching what you click. A firewall will let you click things like "Are you sure you wish to install and run Bonzi Buddy password stealing porn advertisment popup software (Y/N?) I do the computer security for a large bank. I tend to reccomend ZoneAlarm firewall, just because it's small and free and works well. Norton is ok though. And make sure your antivirus stays updated!
The real advantage of getting behind a router is your new IP address. You'll end up with a non-routable IP address. That way worms will try to infect your router, not you. I don't want to get technical. It sounds like your off to a great start. I wish everyone practiced safe hex. - Joe