The router firewall is great - but not enough.
Log into your router with your pc by putting bringing up a web browser and typing in:
http://192.xxx.xxx.x where all those xx's are the ip-address of the router, supplied in your dlink documentation.
Click the security tab, and make sure you are as tight as possible and still have your browser and email work. Pretty much only allow HTTP and HTTPS. Do not allow telnet, ftp, or any incoming traffic. (just check or uncheck the boxes).
Change the admin username and password (at least the password). This keeps someone from driving by your house and logging into your wireless and changing the settings. Enable 128 bit encyrption on your router and your wireless client. This keeps someone from sniffing your wireless traffic and looking at what you send.
As for the firewall, as someone else mentioned, it does not prevent you from downloading something with a virus or clicking on something that brings spyware in. It will help prevent the spyware or virus from using anything but http calling out of your computer. Add a Norton or Macafee pop-up blocker and virus alert, and their software firewall as well.
With a wireless router - USA today did an experiment and saw 34 attempts to break in within 5 minutes. At Sun micro, we saw 200 attempts within 12 minutes of turning our system up from automated spyware/virus probers trying to find unprotected equipment. So, just turning your machine off or disconnecting between use will not work.
I'll try to help with some of this if I can, pm or email me, jon