USE THE ROUTER!!!!!
That said, here's why. A router/firewall helps block hackers by not letting them get to your machine. What happens is that the router is like a pc with 2 or more network cards. One card communicates with the outside world, the others with your lan. Here's the kicker. They're on different subnets. The outside one has a valid internet IP, the internal ones don't. They have addy like 192.168.1.1. No internet routing table will carry that. Therefore, to attack your maching, the hacker has to hack the router. The key being that small router/firewalls aren't smart enough to be hacked. And bigger, more powerful ones are too damn tough. Basically, it stops casual hacking.
And the linksys routers setup is a breeze. It uses your internet browser for it's interface.