Re: If I have a firewall in my router do I need one installed in Windows 7?
If you are already running security essentials, then you definitely want to keep the windows firewall on for the intrusion prevention aspects.
Intrusion Prevention doesn't use signatures like AV. It looks at bad behavior on the network level and the process level. This is to try to catch "Zero Day" stuff that AV products don't have a definition for yet.
So, for example, some packets come in that want to start a process that is going to write something to your "run" registry key, the Intrusion Prevention mechanism would try to block that activity at the firewall level and stop the behavior before more bad things come.
So with Security Essentials, you really want the Windows Firewall on... otherwise you are crippling some of what Security Essentials can do.