If I have a router with a built-in firewall, should I also turn on Windows Firewall?
Yes, because router-based firewalls only provide protection from computers on the Internet, not from computers on your home network. For example, if a mobile computer or guest computer connects to some other network, becomes infected with a computer worm, and then connects to your home network, your router-based firewall will not be able to prevent the spread of the worm. However, a firewall running on each computer on your network can help control the spread of worms.
Note: This information provided by Microsoft.