Yes you do. I'm sorry about the knee jerk response about you not knowing how to set up your router. I take a lot of things for granted since they come to me naturally.
Put this in your url slot in your browser. http://192.168.0.1
then press enter.
Log in to the router using the credentials for your model.
Look for something like security or admin functions.
You should see a setting to enable the fire wall. It works pretty much autonomously, just has to be turned on.
Make sure when you enable it to click on the save button or it goes back to the default.
There's no logging out just click the red X in the upper right corner. When it sees you're not there any more it goes back to normal run mode.