XP Firewall During Boot

I recently set up a D-Link wireless router to serve my XP Pro desktop by ethernet cable and my Vista laptop by wireless. This means the machines are online during boot-up. I realise there are now 2 firewalls in use because the router has one built in as does the Windows software. My concern is with the desktop PC. During the boot I get a message balloon telling me that the firewall is turned off. This disappears when the computer has finished booting and if I then check the Security Center it indicates the firewall as bein turned on. Is my PC at risk during this first couple of minutes or is the router firewall going to provide adequate protection? Do firewalls need to be kept up to date like antivirus applications? I think the most recent release of the router firmware was in 2005.

 

Thanks Mark