A Firewall is not for stopping malware that gets onto your computer. A firewall is to stop unwanted network traffic from reaching your computer. However, since you are behind a router, almost all unwanted traffic is already stopped at the router, it never makes it to your computer. The firewall would not stop malware from getting on your computer, that is not its purpose.
My advice, don't concern yourself with it. It is already setup for the best security and usability.