It depends if your cable modem has a built in firewall. If the cable modem has a firewall built in, you are more secure then if it does not. Easy way to tell is to look at your IP address. If the IP address is something like 192.168.X.X or 172.16.X.X the cable modem has a built in firewall. If it's something other then thoes two, you have a "live ip" making it easier for someone to access your system. Even with a firewall on your router, I highly recommend having windows XP's built in firewall enabled or using Zone Alam's free firewall if you don't have XP. It's also necessary to get some form of anti-virus software. Just because you are behind a firewall, doesn't mean some one can't run malicious code on your system. Don't give yourself a false since of security. Make sure you have anti-virus, a local software firewall, and I'd even recomend some kind of anti-spyware software (usually bundled with anti-virus).
Good luck!