A current thought pattern in computer security is "defense in depth." Basically, DiD means that you have layers of security, so that if one layer is penetrated, another layer is in place to prevent a compromise that otherwise could occur in the absence of the first layer.
Under Defense in Depth, you should use the Windows Firewall even if you're behind a hardware NAT device.  If the hardware NAT device is configured correctly and working correctly, the software firewall won't bring additional benefits. But it's there as an additional layer of protection just in case.  
(I've seen numerous cases of people accidentally putting their computers in the router's DMZ. In this case the Windows Firewall would absolutely provide value. The main defense is against Stupid User Tricks.)