most router firewalls are on by default to any incoming connects from the outside that did not originate from inside the network. post your router model to confirm.
You do not HAVE to turn of software firewalls - nothing "wrong" with running multiple firewalls, most people choose not to as it only adds to complications when creating firewall exception.
Normally if a hacker/malware etc is good enough to break a hardware firewall (the router) it will be able to break a windows firewall as well.