In general, security issues involve:
1. Unauthorized Internet traffic coming in (from the Internet to your computer).
2. Unauthorized Information going out (from your Hard Drive to some one else Web Server).
The latter is done mainly by programs that are ?calling home?. Unfortunately, the amount of programs that are calling home is growing by the day.
The Router?s firewall secures mainly the Incoming traffic, to secure the Outgoing aspect you need to add Software firewall.
Thus, many Router owners use the combination of Hardware, Software Firewall.
Popular software Firewall package is ZoneAlarm (free).
ZoneAlarm Download
You can check your system's security here, log to the following page, scroll down, and click on Shields Up.
Gibson Default Page.