XP Firewall vs. Router

[size=3]XP Firewall vs. Router
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'owdy, all.

I’ve something of a newbie question for you security experts.

I’ve just acquired a new system and want to make sure that it’s adequately protected. I currently use AVG free edition (since NAV 2003 slowed down my prior system considerably), and I have the XP firewall enabled. Also, I regularly utilize a small arsenal of anti-spyware programs: AdAware, Spybot, SpywareBlaster, etc.

I’m somewhat hesitant to use firewall software, since past experiences have led to decreased download speeds, system resources being eaten up, etc. I do some gaming and a fair bit of downloading, so I’d prefer to keep my system as sleek as possible.

Thus, my question is this: would I gain any substantial security over my present configuration by purchasing a router with a firewall? If so, which router (preferably under $100) would you all recommend?

Thanks!