You should have some kind of firewall that just acts as a firewall for security. This can just be a hardware router or it can be a crappy old PC (even a 386sx will work). IPCOP is freely downloadable and runs on anything and is very secure.
I absolutely would never, ever, ever under any circumstances directly connect a windows PC to the internet without something non-windows in between that does NAT (network address translation). It's like parking your car in a bad neighborhood with the keys in it and the engine running and leaving the door open, then going for a 2 hour walk. A cheap router is only a few bucks at any office supply store and also gives you the ability to connect multiple PC's.