I can't remember, but didn't NAV2004 come with the Internet Worm Protection? It's basically a firewall built within NAV. I know NAV2005 has it...
I quit using NAV though and switched to Trend Micro PC-Cillin 2005. It also has a built-in firewall, can be had for $15 at NewEgg after MIR, and has pretty much no overhead (slow-down) on your computer. I've found this firewall to be far more customizable than the Windows one.
Granted, I'm behind a router, so the firewall doesn't do me much good, but it has a thing called WiFi detection intrusion that I use. It basically alerts me if/when new or unrecognized IP addresses come on the network. Should anyone actually break the WPA-TKIP and other preventions I have on my WAP, it will let me know! :thumbsup:
If you're going to buy a firewall software, I'd dump NAV like a rock and go with Trend Micro!