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<< Why do I need a firewall with a cable modem and not with dial-up? >>
the simple answer, cable has huge holes, trust me ive been hit. dialup people reconnect and change ip a lot more frequently than a cable, heck, my ip hasnt changed in like 4 weeks, cuz i never reset until i need to. >>
The slightly more complex answer:  Do it if you want to continue to send e-mail to your friends here at the forums.
@Home narrowly avoided a UDP sometime last year.  They were a little slow 

 about responding to massive complaints about SPAM mailings dumped through unattended SMTP connections and hacker takeovers that helped spawn some of the DOS attacks that were so prevalent last fall, both accomplished through those "holes" mentioned above.
When the PTBs at @Home didn't seem to be "concerned" about the problem, CAUCE announced a deadline for changes to be enforced with a Usenet Death Penalty if the changes weren't forthcoming.  
And they took it to the news.
IIRC, once the news hit CNN, @Home announced changes within 48 hours - this after having ignored the requests for such changes for more than 6 months. :disgust:
I believe that @Home is now considered to be on "probation" (haven't checked nana* recently - they've had a couple of cancel attacks and that makes the groups unusable for a little bit).
BTW, using ZoneAlarm on a dial-up connection isn't a bad idea, either;  just make certain that you disable the "Start on boot" option and set up a desktop icon so that you can fire it up whenever you dial out.
Lady Niniane