In general, security issues involves:
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.
(A scan of my humble HD shows about 80 non-Internet related programs, that are capable to get on the Internet).
Talking about Entry Level Hardware Routers? Firewall. The Router?s firewall secures mainly the Incoming traffic, to secure the Outgoing aspect you need to add Software firewall.
In addition, Software Firewall is much more flexible then the discussed hardware firewalls. I.e. software firewall usually can control and block more ports, and bands of ports. In case that you need to put one computer in the DMZ, you can flexibly protect it with 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.