Long back, when I was running a Windows only PC, a firewall utility was always among the first software that I used to install on a newly formatted machine. Along with an Antivirus, a firewall used to be considered a must for any Windows installation that was in any way connected to the outside world.

Of course, times have changed now. I use Linux almost exclusively and rarely see the Windows login prompt. Most Linux distributions are far more secure than Windows, out of the box, but the threat is still there and having a good firewall protecting your computer is still a good idea.